Should I protect a freshly sanded, untreated deck from the weather

Maybe too late to ask, but, are you using latex or oil based? If you are using latex, if you can get it on for 4 to 6 hours before a light rain, it will have dried enough to survive without spotting. Oil based really needs 12 to 24 hours to set up depending on the temp. Curing time is a lot longer, but the skim drying is much faster for latex than oil. Good Luck!

Prep is always the most important step. Make sure the wood is dry. It shouldn't make too much of a difference that it rained after you sanded it down as long as it still has pores to absorb the stain.

I always recommend placing a large tarp over the area so that if it does rain, you don't have to worry too much about your work.