There is no actual need to paint or oil the timber as it is suitably treated for exterior use. You could change the colour of the timber if you wished with an exterior stain.
As you've identified, painting the step treads could leave them quite slippery when wet. Dulux Weathershield would be suitable, but I'm unaware of any non-slip grits compatible with timber floor paints. Perhaps applying Croc Grip 5m x 48mm Clear Anti-Slip Tape after painting to the treads would minimise any potential slip issues.
There's no particular waiting period before applying a coating to treated Pine, so you're fine to apply your coating now.