I have treated them with Siloxane which makes the wood less prone to warping, cracking, and other water-related damage but otherwise I will leave them natural. Stains can definitely help protect cedar and also retain their color longer, but paints are not advised since they trap moisture inside the wood (non-porous) and can flake easily meaning they are relatively high maintenance (take a look a the before photos in the comment above to see how the old painted shingles looked).