Better from a maintenance standpoint and water management...yes. You can also go with any number of the engineered products that can be painted (i.e. PVC, Composite, LP, etc.). They will be maintenance items as they do require painting. Painting seems to hold up and last longer on them, but they do need to be painted.

The painted PVC looks like wood or does it look like painted plastic?

It looks more wood-like than capping, but I am not sure anything looks exactly like wood if you are talking about having some grain to it. There are textured PVC and LP trims that look great and very "woodlike". Just depends on the look you are trying to duplicate. If you are wanting rough sawn cedar, there isn't much that will duplicate that look. That said, cedar should last.

You may need to use a heat reflective paint on the PVC. It may be difficult to find certain styles of trim in PVC such as backband and material thick enough for a sill. PVC can be expensive espcially when trying to replicate older casings that are wide and have accessory trim pieces that go with it . Replacing sills after the window have been installed can be a real pain as well.

Striated PVC coil stock. Most supply houses carry one or another manufacturer. Search Georgia Pacific in their trim coil. Attempted to insert a link, and just won't happen.