I found this discussion with about the gable cladding,
:oops: where? I don't remember and nothing comes up in the search under gable slate cladding etc...
but I can attach the pictures here.
From the inside you can see that the window front is built of masonry and the sides are made of wood, the insulation (glass wool) comes in from the inside.
front brick, on the side a protective sheet over the wood
and here unfortunately I don't have any more photos – however, based on this picture I assume that the moisture-repellent (?) sheet is then directly covered with the slate.
So I would say about your photo: if the white on the outside is insulation now (Styrofoam?), then of course something still has to go over it that you can nail into.