It is recommended that you do not stain, paint, or seal pressure treated (PT) lumber for at least 6 months after installation. I don't know why. Ask your local lumber company.
The average finish wears away after 2 years, or washes away. You do not have to remove it. Unless you use Thompsons Waterseal, then it will wear away after 30 days. That is assuming you stain it.
If you paint it, you may have a traction problem when its wet, unless you add sand or other type of traction product to the paint. And after several coats over many years, you may end up with paint chiping.
I always thought a waterproof polyurthene would hold up for many years, but never heard of anyone using it.
I would not recommend using a high gloss product. It will show too many imperfections and show the dirt. I recommend a satin finish for a deck. Just one opinion.