Cavity trays are not a new idea, they've been around since the birth of cavity walling. You see, where a cavity gets breached (such as at the lintel above a window) a cavity tray should be inserted above it. This deflects any water, that happens to drip down the cavity, to the outer skin. It should then find weep holes in the outer skin to allow it to flow harmlessly out of your wall. Besides this water, it also ensures that any water percolating down through the outer skin, is also forced to make it's exit on the outside face.
Now when you connect a conservatory to the side of your house, this outer skin is no longer an outer skin, it is now part of the inside of your conservatory. So the weep holes (that should be present), will be somewhere below your conservatory ceiling. The only way to reliably remedy this situation is to put another cavity tray in the wall, higher than the roof line of your intended conservatory.
It's not an essential feature for a conservatory though. Assuming that your gutters are in good order, and the wall in question is not too prone to heavy rain exposure, you'll likely not have much problem. You will inevitably get some dampness at the roofline in heavy weather though.
The flashing between the wall and your new roof will only deflect surface water (that which is running down the face of the wall). If the main wall experiences heavy rainfall, it will absorb the water right through it's thickness. As this water percolates down through the brickwork, it will bypass the flashing and finally ooze out above any original door and window frames, and down the rest of the wall between.
Like I say, for a conservatory, it's your choice. Without the raised cavity tray, you'll inevitably experience some dampness in the original exterior wall. Wether you can live with this, is up to you. It really is a lot of work for a conservatory though.