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Welding over mill scale... well, probably will experience some undercut at the toes of your fillets. I say this because it takes more heat to melt through the scale than it does to melt the steel under that scale.
Depends on how thick the scale is on your material. With FCAW, really light mill scale shouldn't be a problem at all do to the digging characteristics. GMAW (metalcore) on the other hand doesn't like mill scale at all, (in most cases) at least that's what we've found here in our shop.
John Wright