Sir,
I have a recently acquired Colt DA .41 and have similar problems. The serial number should indeed be found on the bottom of the grip frame stamped laterally (across the short axis) at the inside edge of the bottom grip frame (the side where fingers rest in shooting position as opposed to palm).
See here;
http://www.gunbroker.com/Auction/ViewItem.aspx?Item=329110152
The eighth picture down shows the position of the SN. When I first inspected mine I would have sworn it had no stamping on the grip frame bottom. When I knew where to look and commenced corrosion removal, first with Kroil and 0000 steel wool, then a soak in Ed's Red and repeat. I can see it was definitely there but I only raised a partial number. It MAY be the best I can do without resorting to the acid treatment employed by LE forensic examiners.
The numbers stamped on the cylinder release and on the cylinder crane or inside the cylinder window, face of cylinder, are all assembly numbers. For a brief time in their early history the assembly number was the last 3-4 digits of the SN. I repeat this was only for a brief time and I do not benefit from this as my assembly number is 4 digits with no apparent relationship to the few numbers I raised. When they (Colt) abandoned the practice of using the last 3-4 of the SN for assembly numbers, then the assembly number had no relation to the SN. There is at least anecdotal evidence that some of these revolvers had a shallow SN stamp that at this late date is subject to the ravages of time. Mine appears to be quite shallow.
This revolver has a complex history that I am still trying to learn. The Colt forum has a thread with a gentleman with a New Army/Navy .38 a.k.a. model of 1892-1894 who also is sans SN. It makes for interesting reading.
http://www.coltforum.com/forums/colt-revolvers/59714-colt-d-38-a.html
Also see;
http://www.thehighroad.org/showthread.php?t=700254
http://www.coltforum.com/forums/colt-revolvers/59541-what-have-i-got-here.html
If you would please share here what you learn, I would appreciate it as we may both pull ourselves up by the bootstraps on this venerable pony. This is (generally) the revolver Teddy Roosevelt carried up San Juan Hill and also the revolver that convinced the US Army to look for another standard sidearm in .45 because of ineffective use against the Moros in the Phillipines, resulting in adoption of the 1911.
P.S. The Colt Forum thread makes mention of a book on these revolvers that unfortunately, currently is out of print.
P.P.S. Also, either of us that can put pictures together and add to a thread under Firearms Research here at THR may get good results. The guys that haunt this sub forum have amazed me.
Regards,
Randy