This process is called diffusion. An example of diffusion is when you dip a paper napkin into water, and the moisture slowly moves up the napkin. The same thing happens with a brick wall. If the brick and the wood are in contact with each other, then the moisture will eventually reach the wood. If this happens on a regular basis the wood can rot, something that isn't very desirable.
Moisture can also get through brick veneer because of the wind.
It isn't unusual for a brick wall will develop small cracks due to shifting of the building. There can also be small gaps between the brick and the windows or doors as the caulking deteriorates over the years. When wind blows through these openings it can force rain into the air space. However, the only way that this can occur is if the rain exerts a higher pressure on the outside of the brick than the pressure that exists within the air space. There must be a pressure difference for liquid water to be forced through a crack.