Western Red Cedar is far superior to many types of wood when it comes to finish retention. It has all the qualities that cause it to very easily accept and retain many different types of finishes.
Cedar has excellent dimensional stability which is because of the density of the wood. If the wood is less dense like cedar is, it will not shrink and swell with weather changes as easily as most types of lumber will. This makes it very sturdy and strong and less likely to have differences in structure that will mar the finish. Although, the most important factor is the moisture content of the wood at the time of construction and finishing to ensure a long lasting finish.
There are many different textures of cedar available and depending on what you are looking for, the fine texture of cedar makes it easily accept finishes of many types.
The pattern of growth, meaning whether it is summer-wood or spring-wood, is also a factor. Cedar tends to have a smaller path of summer wood growth. Instead of the pitch or resin that is found in most types of lumber, cedar has none. Cedar has water soluble extractive that more naturally resistant to decay.