Cedar has a good record of holding up.

Who said that Azek cannot be painted brown?

You might look into a product called Timbersil for your windows. It's the same southern yellow pine that they start with for pressure treated lumber. Instead of the nasty chemicals however they inject it with sodium silicate and then bake it. the silicate fuses into a glass like material in the pores of the wood making it inert; rot proof, insect proof and won't burn. Best part is it looks like untreated wood and works about the same. I just completed a big pergola project with it and really enjoyed working with it. It's kinda particular in how it takes paint (you've got to sand the wood before you paint) but it seems to take paint well. You could also look into using mahogany but without being sure of it's origin, I'm reluctant to use something that might be contributing to rainforest destruction.