Treated wood INSIDE a house is not a good idea. It often comes from the factory almost dripping wet. Plus, when it dries out, it tends to twist and warp. If you've glued and screwed it down well, you might be okay if it has been down awhile and dried out first. Also, ensure that the ply has at least 'C' or better sides (i.e., no 'D' faces). Have you verified that the joists are strong enough for tile? A good subfloor only protects things BETWEEN the joists...the joists must be strong enough ALONG them. And, keep in mind it is not the size of the room that counts, it is the length of the unsupported span of the joists underneath, whether that extends beyond the room or not. You didn't mention if this was going to be ceramic or stone. If stone, then you need a second layer of ply, installed properly.
You need to read the instructions on installation of HardieBacker, or any cbu...no roofing felt. You must install the cbu in a bed of fresh thinset, then screw (or nail) it down with the prescribed fastener schedule then, either as you tile or before, you need to use the special mesh tape on the seams. It's easier to do while you are tiling, then you won't end up with 'speed bumps', which can occur if you do it beforehand, then the thinset cures.
You don't want felt or cbu under the shower pan. Over a wooden subfloor, you do want to put some metal lath in the mix if you aren't going to use the Kerdi pre-formed pan. The mudbed needs to be around an inch or more at the drain over wood, and taper up at 1/4" per foot to the longest corner. That will set the height of the mudbed all around the whole shower. You can either stack 2x4's for your curb, or use a preformed one. On the 2x4's, you'd need to install some drywall before you install the Kerdi.
On the exterior wall, just use unfaced insulation (I assume you are planning fiberglass). The Kerdi is an effective waterproofer, and drywall on the walls is the preferred surface to apply it to.
Check out www.johnbridge.com for help on tiling things.