How do I stain a pressure treated pine fence?
If you stain it now, it will change the end color of the wood. You have to wait for it to turn natural, so either wait six weeks or put it up green. The outside environment will dry it faster than sitting in a pile. 

Reasons Green lumber accepts stain poorly, while older wood absorbs stains relatively well. The porosity of wood can vary greatly, even within the same piece of wood. Green treated wood refers to lumber infused with chemicals that delay or prevent deterioration.

These chemicals reduce the possibility of wood rot. Unfortunately, they also infuse the wood with deep-set moisture that prevents uniform stain absorption. Let the green treated wood sit and dry out before attempting the project. Test the stain before committing to full-scale application, or you'll end up with disappointing results.

PS: Make sure your sealer is water- and UV-resistant and contains anti-mildew and anti-algae agents to help the wood stand up to weathering effects.