I can't say that I've ever finished newly milled spalted maple before but here's my take on it.
If it's extremely spalted in areas I'd consider using some sort of penetrating glue or finish to harden the wood up prior to finishing. If you want to stain it and pop the grain then a waterbase stain may be the best bet. Followed with a film style finish such as shellac or lacquer. I've heard of people using thin CA glue and epoxy resins to stabilize the wood prior to finishing.
As always it just depends on the look you're after. You have to be careful of the softer areas of the wood taking the applied color or finish differently and decide if you want to enhance that or minimize it and go from there. Keep in mind that something like an oil finish would be hard to reverse if you didn't like it so be sure to do plenty of testing on any scraps before committing yourself to something.
Curly maple looks great with a light analine dye applied and a very thin seal coat followed up with a darker dye. Then sand back down leaving the darker dye in the grain only to pop it.
Here's a cool site by a guy that sells guitars with spalted maple tops that may give you some ideas:http://www.edroman.com/customshop/wood/spalted.htm