It looks like conventional OSB sheathing, the surprising part is that it doesn't have an integrated coating to repel water. This means that housewrap will have to be applied to protect the sheathing from water damage, this is both labor intensive and the potential for misapplication increases the risk of water damage.

Yes. That's called sheeting, and it's a type of thin plywood that's used over the (solid wood) framing of the house to support the housewrap (which functions as a vapor barrier) and whatever type of exterior siding goes on it.

Between the framing studs would be insulation, and on the inside of that goes drywall.

I think that's just how they build houses there.