[IKE]

I have always seen them turned down to round which is pretty easy with a 3 jaw chuck on a lathe, and some patients. If you are turning steel, it may be better to use HSS rather than carbide, because carbide will sometimes chip.

That being said, the point loading probably isn't a big worry to the bearing, but soft hex stock may yield at those points and thus be sloppy similar to a shaft that is several thousandths too small.

If you are switching over to hex, you will also want to have a broach and press to make custom interfaces.

If you only have a 4 jaw chuck for your lathe, some options might be:
Buy a 3 jaw (this could be cost prohibitive depending on lathe.

Make a round insert and then broach a hex. Cross drill and add a set screw.

Use square stock instead of hex. (you will also need a square broach). This does not seem to get used in FIRST as much so expect replacement parts to be custom.