Personally, I would use PT for anything exposed. But, I can tell you from experience that non-PT lasts a while just fine with no coating. My father helped me build a treehouse about 30 years ago. When they sold the property 16 years later, most of the treehouse was still intact. The floor, which was just 3/4" particle board and OSB, had rotten through in a few areas, but everything else was still there. It somehow survived many New England winters with ridiculous amounts of snow.
With that said... The sun is far less damaging up North than it is in the South. The sun down here in the South absolutely annihilates everything. That same treehouse down here would have been dust in about 3-4 years. I built a PT service deck on the back of my garage two years ago and haven't sealed it yet (Home Depot wood, it keeps oozing sap) and you can see how much it is weather worn already. I built a pergola out of the scrap, sealed it immediately, and the difference is astounding.
As for sheds, if the framing won't be exposed directly to sun and rain, non-PT will be absolutely fine. I use ground contact rated 4x4/6x6 as runners, and Advantech flooring, but otherwise non-PT is acceptable.
The answer will really depend on where you live and the elements it faces, and how exposed it is to those elements.
