Sawdust from treated wood on my lawn
Unless you have a big enough pile to make snowballs...or sawdust balls rather.  I wouldn't worry about it.  It shouldn't hurt the grass and again unless the kids are rolling around it it, or licking it you should be just fine.

In the First Aid section of the MSDS, for skin contact it says...


  For skin contact, wash immediately with soap and water. Get medical
  attention if irritation develops or persists.


The by the book answer is yes follow the MSDS to the letter. But MSDS sheets are written with lawsuits in mind and are generally overzealous in how things should be handled. This is the same reason a piece of stained oak threshold at Lowe's has a "This product has been known to cause cancer in the state of California" sticker on it. I have had ptw dust in my eyes and on my body and had no ill effects. Sure if you have a pile, pick/clean it up, if its scattered...mine is realistic advice, I would not worry about it.