Isn’t it way harder to run plumbing/electric through cinder blocks, let alone hanging drywall? Or do you build a cinderblock box first and then frame the inside with wood?

At least in South America (where most buildings are made of brick and mortar) there’s no drywall. The internal finish is a smooth layer on top of the bricks and that’s it. That makes it easier to hang heavy things on the wall but also makes it impossible to run wires of any kind. It also makes repairs more difficult.