You don't need to bother with the CA Margo. Get a good finish with abrasives, so that you don't have any tooling marks or radial marks showing. I always give it a good going over with 0000 wire wool too (along the length, with the lathe stopped), as a last abrasive process. Then you can get to work with the burnishing cream.
Yes, Tcut is quite coarse - burnishing cream is much finer, but by putting on CA, you are introducing a medium which firstly, unless you de-nib it and go though a fine abrasive routine again, will cause imperfections over the top of an already perfect surface, secondly is un-necessary since the surface doesn't need sealing, thirdly, will only sit on the surface rather than integrate with it as it might with wood, and therefore may well flake or chip in time, and fourthly, won't shine any more than by omitting it and just using burnishing cream.
Use a clean tissue to wipe off the cream though, in preference to a tack cloth. Rather than just wiping it on, work it in, and work at it with the lathe running like you would an abrasive, which is what it in fact is. Take it off with the clean tissue, and keep turning it to a clean part until all the blackening is removed. There's no harm in repeating the process as many times as you need to. You need to burnish at a sort of medium speed. There are those that do everything at the fastest possible speed, but you'll get a better, more even shine if you slow it down to maybe 1500 - 1800rpm. Fastest isn't always best, and certainly slow is no good for burnishing.
I hope that helps