My guess is you've never had well water before.
Depending on what type well you have it could be stone, concrete, SCH 80PVC lined, it's rare to see a steel pipe lined well that would rust.
Far more likly the pipes in the house are steel of it's an older house or you have hard water that needs to be treated.
Steel pipes will leak or bust at some point and will always be rusting from the inside out causing the inside of the pipe to get smaller and weaken the area where the threads are first.
Hard water can be treated with a water softner to remove the iron if need be.
Best to get a water tested first to see what it needs.