If you are building a timber frame clad in brick or a double brick thick wall, then yes you will need to waterproof the inside of the brick wall (in a way that complies with Building Regulations).
If on the other hand, your wall is a cavity wall e.g. a 3 inch (75mm) gap between the external and internal brick walls, then the gap stops moisture ingress. If you build a cavity wall then the two walls need to be tied together and you would need to fill the gap with suitable insulation to comply with Building Regulations.
Also, as long as the floor level is protected from the ground damp by using DPC (Damp Proof Course) for the walls, and a Damp Proof Membrane is properly laid for solid floors, and provided the roofline of the conservatory is protected by flashing tied into the main house wall, there shouldn’t be a problem. In the UK the DPC (which should be below floor level of your construction) needs to be at least 150mm (6 inches) above ground level.