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I'm assembling a shed (more like an outdoor office) made out of "Nordic Spruce" and want to make sure that it's protected from the elements (particularly rain and direct sunlight - no snow).

Aside from personal preference, is there any reason why I would want to use exterior paint instead of stain when protecting an outdoor shed/office? Is one type of coating clearly superior than the other in terms of reliability and waterproofing? Or is this purely just a style preference?

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All wood coatings are essentially decorations. The only thing that keeps wood from rotting outside is proper drainage of it and airflow around it. Wood can get wet every time it rains and snows as long as it is permitted to shed water effectively and dry out quickly. When it stays wet even through days of sunshine and wind is when wood will begin to foster fungus and rot. The vegetable and fungal organisms that attack wood require constant moisture for survival. So design your wood elements exposed to the weather judiciously, and choose a finish for its aesthetic merits and maintenance requirements.

An oil based stain requires minimal prep work, doesn't peel and flake as it ages but simply fades, and reapplication down the road requires little to no prep work again, though it may require more frequent reapplication than paint to remain looking brilliant. Paint is a more exciting and transformative finish, but requires more prep work, and reapplication down the road may require some labor intensive scraping and sanding. If you do decide to use paint, then stick with a high quality exterior latex, and be sure to use a high quality latex primer first (you get exactly what you pay for with paint). Stay away from oil paints. Latex paints are much more flexible than oil paints and will hold longer looking good.

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If you have a roof on the thing, no paint or stain at all is a perfectly good option.

Dredge up a new or old copy of Rex Robert's "Your Engineered House" (the later version is by Charlie Wing, updated from Rex's original) if you'd like to read all about it, or look at @paul's answer, which I upvoted - especially the first sentence.

There are barns in the "hundred-year-old" class with original siding that was "not treated" this way around here - they get a lovely gradation from brown to gray as they go from drier (up under the overhang) to wetter (down near the ground.) They don't rot the siding off them due to lack of paint. Siding rots off due to lack of roof, when nobody keeps the roof in good repair so the building stays dry, or the frame goes and the building falls over far enough that there's no roof over the wall anymore.

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