AIUI, where you have a roof butted up to a wall, there is (a) lead flashing and (b) drip trays inside the wall just above where the roof butts to the wall, so that any moisture that makes it through the outer wall drips onto the trays, down and down, until at the end there's a weep slit between two bricks, and the water is supposed to drain out there, onto the roof I mentioned.
This seems to be the arrangement where our conservatory roof meets the house wall, but here's a question. In case of heavy rain driven by a bit of a gale against that wall, won't rain be forced into the weep slit, onto the lowest tray and then perhaps run off the far end of the tray? If so I could see it leading to wetness inside that I see more or less below the weep slit (although that would be within the cavity).
Alternatively, can the flashing be compromised by the same weather? The top edge of a bit of flashing is held in place by being between two courses, but at the end of each "step" in the flashing, there's a not-quite vertical step down to the next course. How is the edge of that supposed to be sealed? If the weather forces rain in there, that would be on teh outside of the brickwork and could get between the wall and the roof edge.