I guess WHEN you apply "whatever" depends upon the ease of application. I waited until my decks were built and rolled on some goop. I've use a little bit of everything - Behr, Thompsons, InWood Semi Translucent Oil Stain. The Oil Stain lasts the longest. The Oil Stain comes in many different "shades" also. Cedar, Tobacco, Mahogany, Cherry - etc.
I also have an all cedar house - PanAbode. So at one time or another I've used all of these products on the house exterior.
DO NOT use any type of Urethane/Varethane product. It provides a completely air/water tight seal on the cedar. Cedar must breathe. The Urethane/Varethane will produce enormous bubbles as the cedar breathes under this product. It makes a horrid mess. I did one exterior wall with Urethane. The blisters were 6" tall and some were ten feet long. It was a bloody mess!!!
I've had this PanAbode all cedar home out here for 38 years now. I reapply Inwood Semi Translucent Oil Stain to all the exterior walls and deck every eight to ten years. Works well in our semi-arid climate here.