Pine wood is fine for shelves and houses (the shavings are a debatable issue - the surface area is greater with shavings). I also would be wary of something that wasn't specifically made for pets. Although it says it's untreated pine (should be ok) the wood itself can be treated before the furniture is made up. It's probably ok. Pet houses and shelves that are made with untreated pine are intended for pets. I had a similar issue looking at wood chopping boards to make into a shelf
They said "natural wood" but they had a coating on them.
There are probably easier/other things to make a shelf from that don't need the slats covering. I think I wouldn't take the risk of the wood being untreated or not - but it's probably ok if it is untreated pine. I would want to seal it with plastikote probably.
Ikea sell all kinds of things that people make shelves out of. Knuff magazine racks are popular.
https://www.google.co.uk/search?q=kn...oYA7UQ_AUIBigB
I am not a diy person at all but I did try a bit now we have a hamster! Sanding is quicker and easier than I thought! As is painting with plastikote petsafe waterproofing paint. And I even ventured to stick legs on our hammies large wood house so it sat above the substrate without sinking. For that I used hardwood dowels. Very cheap and you just glue them on - or you could use a tack if you're careful and it's well hammered in (and the hamster isn't a chewer). I try and use nail-free items generally.
So just buying a piece of wood and some dowels would easily make a shelf. I bought 30cm dowels and cut them down to size a bit. You can get things cut to size in the hardware shop.
Even if pine is untreated, you need to know it has been kiln dried as well.