Your question does not have a straightforward answer. It depends, among other things, on where you live, what you are attaching with the screw, and whether you plan to paint over the screw heads afterward. If you are screwing up wall panels that will be painted afterward, they are suitable in most places. Generally, the closer you live to the coast, the higher the corrosion class you should use. For decking, i.e., horizontally mounted, pressure-treated boards outdoors, I would only use class A4, i.e., acid-resistant.
A little protection is probably provided by oil stain, especially if it is on a vertical surface (i.e. wall).