How to fasten wet dog-ear pine pickets
As you suspect, pressure-treated lumber holds fasteners much better when it dries out somewhat. That would take some time, though, as you don't want to rush it or you'll get severe warping. 

If you're in a hurry, switch to something like 1/4" carriage bolts. They don't depend on thread grab and will hold better in the long run anyway. 

Otherwise go to a heavier screw. A #12 has several times the thread area and will hold much better.