Treating the deck with a quality oil stain will slow down the splintering. Splintering is normal with pt lumber. You don't need to treat every year if you spend the $$ up front on a quality sealer. Use either Flood CWF-UV or Cabot stains. Both will give you at least 3 years of protection. Thompson's is parafin that needs to be reapplied every 3 months - avoid it.