1 – 0.5" diameter is smaller than the range where 4140 is usually specified. Lower alloy steels or even 1045 can meet your hardness spec in small diameters. However 4140 is what you have.
2 – weldability or 4140 is reasonable when precautions are taken. The dissimilar combination poses no problems; I suggest you match the lower strength base metal, so a 70ksi class filler metal. 400°F is adequate; you actually want to take care that the interpass temperature does not run away in this very small configuration. Small weld beads and take your time between passes.
3 – plasma or any other method of cutting is not a factor, because you will want to grind or machine the surface to bright metal before welding.
4 – the only cracking you need to be concerned with is cold aka delayed cracking due to moisture getting into the weld zone. The best way to avoid this is to use a 'dry' welding process like GTAW, preheat and post-weld soak to facilitate the dissipation of any hydrogen that may be present. On such a small heat sink a thermal blanket will not achieve much; you will need to add supplementary heating to maintain 400°F for one hour – a furnace works best.
5 – fatigue strength is basically a direct function of hardness/tensile strength. However, when it comes to fatigue, defects (including shaft misalignment) and stress raisers trump all other considerations. In any event, you cannot do better than the strength of the weaker base metal.
6 – I think your biggest challenge will be maintaining straightness across the joint.
"Everyone is entitled to their own opinions, but they are not entitled to their own facts."