This isn't even the first dubious Jesse James razor to make the rounds. Here's a different one Razor Belonging To Jesse James Marked "Jwj" : Lot 113.

Considering how many razors have passed through our members' hands, we'd have seen a lot more scales with famous names legitimately engraved on them if this were common practice "back in the day." The odds that only notorious outlaws chose to autograph their stuff are slim. It's most likely that someone was taking advantage of what was then a current news story to scam a few bucks out of a credulous buyer. Even if it's an authentic antique forgery, it's not worth $500. At the time of writing, some poor idiot has bid $499.99 for this thing, with almost a week to go.

As the guy who sold me Alan Turing's iPad said, you have to be careful because there are lots of dodgy people out there.