depends if the wood is just sawn or planed smooth. Most feather edged boards i know are sawn but not usually used in sheds you get from a shed supplier.
If it is sawn like a feather edged fence panel then you would usually just use the water based fence paints that have a wax in them . All pretty much the same just look for deals as they often have BOGOF or half price deals. usually around Â£5 or Â£6 for 5litres own brand. Cuprinol do a dearer product called ducks back.. think it comes as either brush or spray application. Ronseal okhttps://www.diy.com/search?Ntt=fence%20paint&page=1
If its planed smooth then you can go for the more decorative water based external paints designed for sheds and fancy fences. Wilkies own not that bad. Stains tend to soak into wood to preserve it, Paints tend to cover the wood. ... https://www.wilko.com/garden-sheds-storage+fencing/fence-and-shed-paint/icat/shed-fence-paint
Your really posh stuff is a sadolins wood stain excellent but expensive and often needing base and top coats
Personally i would avoid your standard prime undercoat gloss oil or waterbased exterior paints on a shed