For Windows and Door installations Polyurethane is the best for sure. Home Depot does not sell a good quality polyurethane, but they do sell a crummy product called PL Polyurethane. They used to sell DAP sidewinder, which I think is a good exterior product. Silicone is not paintable for the most part and really only has use for tile and glass in baths and kitchens. For general caulking around the house for like siding and trim the latex plus silicone is good. I wouldn't use Polyurethane inside as it outgasses fumes something terrible.
If dead set on polyurethane I just used a tube on a window install called Future Flash Sealant. I got it at White Cap. It was the nicest poly I have ever used. It gunned easily, tooled nicely and most importantly, it kicked off by the next day.
Oh, Home Depot does carry the Sika Flex poly in the concrete area but this one is not the Sika Flex that people generally praise. I'm not sure what Sika Flex it is honestly.