The pressure treated wood is usually installed wet with chemicals. Especially, if the supplier moves a lot of inventory. If you purchase it already dried out, most of the wood will have already bow or curved. You need to fasten it before it dries out. And then let it dry out.

I've painted PT before it was finished drying, and the moisture bleed through and had to be repainted. So, yes, you need to wait a few weeks if you are getting some good sun, winter times would be longer.

As for stains, I usually go with Behr's or Cabot's.

Update...your deck will need to be stained again and again. I'm not saying that this product will protect your deck for years and years with just a one time app.