Can I railroad the fabric to eliminate seams?
Yes.

What is the advantage of sewing a rod pocket onto the treatment after the valance is made? Why wouldn’t you sew the rod pocket into the face and lining fabrics after Step 3? I do realize that the ends would have to be left open to allow the rod to go through.
You can do that. It is not as professional and does not give as much support for the elaborate header.