What is this finish called?
 

What is the finish on the receiver of this NEF shotgun called?

Case hardening. Or "Case hardened appearance."

Thank you. Is that all it is known by or are there other names for it?

Honestly, I don't know a lot about it.
This may help some: http://en.wikipedia.org/wiki/Case_hardening

There a a few ways to provide such an appearance.

One is the old way (and very few practice it). Turnbull practices the old way. http://turnbullmfg.com/

The other involves a coating that appears like it was done the old way, but will clean off with a paint removing mixture.

"Is that all it is known by or are there other names for it? "

I've never really heard it called anything else.

Color case hardening. It is done with bone charcoal usually, Carbon rich, oxygen starved heat.

http://www.hunt101.com/data/500/004330.JPG
Here is the frame to my 44 Stevens that I just got colored again. This is the real deal. It is posted in other places, but just so you can see. I am pretty sure that NEF does color case harden their frames too. I have several and they have genuine color case hardening.

They've got a good gun, too bad that they had to ruin it with the plastic forearm latch.

Case hardening, or surface hardening, is done by placing the parts to be colored in a crucible with charcoal and high carbon bearing substances such as ground bone, leather, animal hooves, then the crucible is sealed shut, and brought up to a critical temperature (somewhere around 1600*) where the compounds in the crucible react with the surface of the steel to provide the colors. In the case of the 44 Stevens receiver, the receiver is stood on end and the compounds are layered in to obtain the alternating layers of colors. There is lots more to it than that, but this is the simple picture. The colors appear as a reaction of the heat and carbon in a carbon monoxide atmosphere in the crucible.