Depends on what you want.
Traditional for Central European types of cheeses would be fir or spruce, tight grained and free of knots.
Acceptable for many food codes would be beech and maple. These are easy to keep clean and bacteria have a harder time living in their surfaces do to their tight grained, closed cellular structure.
No linseed oil, I can't support this. Leave them raw. Linseed oil has a leeching affect. You are better off to leave the wood bare and clean regularly with vinegar or alcohol (the drinkable kind) We wash our shelves with the same disinfecting yet at the same time cultured solution that we wash the cheese itself with.
Pine does work fine, particularly if it is well dried. Pine will not leach its sap out unless it comes to a temperature higher than it was dried at. Since pine is often cooked at 130 degrees or even hotter to set the sap, this is not ever going to be a problem in a cheese cave. The only problem with pine is that it has a very loose grain structure than can be harder to keep clean. But we have used it without trouble.