Do I need to sand my pressure-treated deck before staining?
All typical lumber is S4S (sanded on four sides). Really, this means that it was milled on four sides, but it's usually quite smooth. That said, I usually hit railings and other commonly touched areas with a random orbit before finishing. 

The bigger question is how long to wait. Pressure-treated lumber is extremely wet and must be allowed to dry to some degree. Follow your product's recommendations.