Yeah, I have heard that pressure treated lumber can have a corrosive effect on steel siding or aluminum flashing. Wise move to install a barrier ... foam or tar paper. I had a new replacement steel roof installed on an old barn and asked the roofer to install new PT facia boards. He said that would be fine; however, he warned me that if I ever wanted to wrap the facia boards with aluminum and install soffets he would have to install tar paper over the facia boards before installing the aluminum wrap ... for the same reason you described.
I vote for closing off your man cave from the shop/garage area and sharing an HVAC system with the wife's space. I would expect that you would want the man cave to remain fairly clean ... if you don't close it off it will be constantly dirty from the welding, sawing, polishing, grit-generating work (or whatever other work you plan to do) that is typical in a work shop/garage. It will also be nice to have a warm clean area to sit down and have a few beers while watching a game or playing cards etc. Or, it could also make a cozy place to spend some time with the wife while she waits for some film to develop .... !!