the solvent-based wood preserver prevents attacks by rot and woodworm. It contains poisons to kill them, and smells somewhat.
Ducksbak leaves a decorative colour and a waxy coating that repels rainwater (until it weathers off).
Once you have built the shed, however, you are unable to put preservatives on the underneath, so I don't see much point in protecting the outside. Water penetration will mostly be at the bottom, especially where it is in contact with a damp material such as the earth or damp grass or concrete. There are things you can do here, but stains and paints won't help.
the water/wax stuff is very easy to apply, and to recoat in a few years, and has almost no smell. I reckon you may as well use that. When it's new enough to be working, if you throw a bucket of water at the shed, you'll see it beads up and rolls off without wetting the wood. It needs recoating once the water-repellent wax weathers away (or when you want it to look like new again)
At this time of year you will find these treatments on clearance at half price, down to about a pound a litre.
The solvent-based preserver is more expensive.