You're better off getting the MS21042 nuts instead, since that specification explicitly says that it is interchangeable with AN365 nuts, which the nut you mentioned does not. As for finish, Aircraft Spruce offers these as either dry or lubed nuts and I think I'd be leaning towards the lubed ones -- provided I could find an appropriate torque spec for those; it should be less than for the dry ones. If I could not, by all means get the dry ones. In either case, you'll need to add the running torque to the specified torque. For the dry ones, Chapter 5, page 05-20 (at least in the revision I have) has torque for those, and specifies 85 inch pounds.
You'll even save a bit of weight with these.
Dave