Seems quite odd to see someone say "drilling through concrete is easy, but how do I drill through wood". I guess it's all in what you're used to!
Different wood-framed houses will have different levels of exterior wind/water protection between the wall framing/sheathing and the exterior surface treatment. The level of protection will depend on when the house was built and what kind of price range it was built to.
Older houses had wooden clapboard applied directly over the studs. Then planks were applied over the studs as a structural level with claps, shingles or bricks applied to the planks. At some point, resin paper began to be installed to help keep wind and water out.
With the advent of plywood, that was used as exterior sheathing underneath bricks/stone, claps, shingles, metal or cement/asbestos siding. Soon, foil-backed papers were also being used as a wind/water proofing membrane. As more time passed, the plywood was often replaced with oriented strand board (OSB) with the same selection of exterior protection, vinyl siding was introduced, and Tyvek™ house wrap was introduced as well. The Tyvek™ was often taped at the seams to help improve the weather resistance.
Now there are all sorts of systems, some preapplied to the plywood/OSB at the factory and sold along with special tapes specific to the coatings. Tyvek™ is still very commonly used as well. Some houses will use a self-sealing rubber membrane at openings in the exterior sheathing (like windows, doors, roof vents, chimneys, etc) in addition to a house-wrap or pre-applied coating.
Note that with all of these weather protection membranes, exterior siding (claps, shingles, vinyl) are nailed onto the house, and that each and every one of these nails penetrates the wrap. Even on your brick house, there are metal straps nailed to the house every few courses to help hold the exterior brick layer tightly to the house framing and that all these nails penetrate whatever membrane may be on your house.
It's not possible for us to know what kind of "membrane" may be on the outside of your house. Even though you say your house is "modern", it will still depend on age, build quality, and location on the planet. Even within the US, houses are built to different standards based on what the expected weather will be like.
I have family that's building a house a couple of miles from me who are using a high-tech coating applied to the sheathing at the factory with (very expensive) tape to be applied at each panel seam, while just down the road, they're throwing up new houses in a subdivision and putting Tyvek™ house wrap on them because it's quick and cheap. These houses are as "modern" as it gets (since they're not even completed yet), and they have different treatments on them.
If you're drilling a new hole in an existing house, grab your drill and go to it. You will penetrate whatever kind of wind/water barrier may have been installed on your house. There's no way around it. Don't make the hole any larger than necessary, though - just big enough for the conduit.
Note: Even if you're using low voltage (LV lighting and the camera feeds are probably LV for both signal and power), use conduit and proper exterior-rated junction boxes for mounting the external fixtures. There are code issues to contend with, and, especially for cameras, technology changes and in the future you may want to install a camera with a different signaling technology - the conduit will make it very easy to pull out the old cables and install new ones.
Use a heavy bead of caulk between the wall surface and the conduit, install the box, and apply another bead of caulk between the box and the wall. Without completely disassembling the wall, this will be the best you can do. After 5-10 years (depending on the quality of caulk and the quality of the job of applying it), you may want to start checking on the caulk to ensure it's not drying/cracking/shrinking and starting to allow water through. Once you see signs that it may be, it's probably time to remove the old caulk and apply new. That's part of home maintenance.