Should I apply termite preventative products to pressure treated wood?
It's beneficial. Here in Texas, where it is humid and wet and we also have a lot of ground-based termites, I use TimBor for posts and rot sills in fences. 

The problem is, you want to have put that treatment on the wood before it goes in the concrete. At this point, your best method of preventing termites from getting into the structural portions of your fence are to keep dirt, grass, and yard debris away from the fence, and make sure that the concrete 'caps' stay above the level of dirt and grass so that there isn't organic material or termite "straws" along the concrete leading to the posts.