As I understand it, those cap and ball SAA mongrels are built with an offset firing pin to make conversion to cartridge as difficult as possible. The BATF has no interest in making it convenient for you to get a firearm (legal definition= breechloader) off the books.
Apparently they do not care about the authentic cap and ball conversions, but a decent EMF .36 Navy will cost $150 and the Kirst Kartridge Konverter for it will be $250. And you must use hollowbased bullets to expand into the rifling of the .375" C&B barrel. Cap and ball revolvers and cartridge conversions are not a cheap way to get started, they take a good deal more care and knowhow to get shooting well than a "modern" breechloader like a SAA.
The Millennium is about the least expensive reliable single action on the market. Part of the reason is that the brass backstrap and trigger guard are cheaper to make; brass is more expensive per pound than steel but casts and machines so easy as to more than save the difference on labor. Get used to it or pay more, that is about your choice.
Otherwise a second hand Ruger would be reasonably priced, reliable, accurate, and just about indestructable.