The chemicals in pressure treated wood are not likely a good thing for the iron in the tub...it could cause it to corrode.
The flange on the tub is designed to prevent water from getting behind when the tub is used as a shower as well. If the walls aren't done properly, then it can still leak and mess things up.
If you use a vapor barrier, run it down over the top of the flange/lip of the tub, then put up the cbu, tile it, then caulk the joint between the bottom of the tile (kept 1/8" or so off the surface of the tub), then things should last.
Depending on the tile you use, you might want to fur out the studs enough so that you can run the cbu down close, but not touching, say that same 1/8-1/4". If using a small tile, the cbu will then do it. For a bigger tile, as long as more than 1/2 is supported by the cbu, you should be okay. A really good resource for tiling info is www.johnbridge.com