Threading 4130 and 410 ss together.

Mismatch of threads or more likely the phenomena is galling.

Differential thremal expansion? Have you tried heating it?

The stainless steel even with the anti-seize/grease sounds like it did seize. Most likely the sides of the acme threads of the plug or box were not coated very good. Also possible the wrong type of anti-seize was used. Not all anti-seize works with SS. Some are better than others.

Also there could have been a burr or nick on one of the threads. Also the chemical makeup of the two SS pieces are similar or the same the pieces are more prone to gall/seize even using grease/anti-seize. Using an anti-seize with nickel content will help with SS.

If the plug needs to be removed without much damage the other part. You will need to drill out most of the plug to the root thread diameter of the plug. Then you (may be able to pick) out the remainder of the metal of the threads from the plug.

Or you you could leave it alone if you never need to disassemble.

It is typical for stainless steel to gall. The combination of red grease and never-seize was probably not a good one, when working for a large millwright company, I learned from a representative of permatex that only a standard 30 weight or thinner oil should be mixed with never-seize. heavier oils and greases can cause the never-seize to only form up on the outside edges of the threads.

While 410 stainless is easier to machine than 300 series stainlesses, I would bet money that there was a stringer that got embedded in the thread during machining and when the two parts were screwed together the stringer lifted up out of it's crevice and started to gall with the mating part. Which sort of never seize did you use? Nickel or Copper? Copper never seize should NEVER be used with stainlesses.

you will have to drill out the plug and carefully pick out the partial threads. Once you've done that. the female and male threads on the replacement plug both should be glass bead peened in order to ensure that all stringers are gone and to impart some compressive work hardening into the surfaces. Ideally coating the male thread with xylan would prevent this issue in the future.Or barring that have it copper electroplated.

If it wasn't tightened you may grip the plug with a wrench and then lambast the plug with a 3lb hammer squarely and solidly once or twice and possibly provide some stress relief while applying mild turning force to the wrench.

I have had a simular problem like that before...actually quite often in our test lab. If you have access to liquid nitrogen or dry ice and you have enough of the plug sticking out you may be able to pack the front of plug with dry ice. This should cause it to shrink enough to break loose. I use liquid nitrogen but you have to be very careful for obviouse reasons. Good luck