The plan for my "dream house" is to use Ambrico EZ-Wall and thin brick on the exterior over cellulose filled walls sheated with OSB.  My question is can I use vapor permeable house wrap between the sheating and EZ-Wall steel substrate (allowing drying to both inside and out)?   Or do I need a vapor barrier not just an air barrier ( limiting the drying to inward)?   FWIW doing this with recessed windows allows an r 40  double stud wall that looks like a 2x6 wall with conventional brick, around all the windows & doors.

You need a vapor retarder with a rating between 1-5 perms, not a true vapor barrier (<0.1 perm) between the brick cladding and the sheathing. Masonry wicks up and stores surface moisture, and releases it when heated (as when the sun hits it.) The EZ-Panel's penetrations allow the high moisture drive of sun on rain or dew wetted thin-brick veneer to vent toward the drain-plane material, and there will be periods where that drive will be pretty extreme before the moisture is fully purged from both the brick and the vent-space. Housewraps are 10+ perms, many are over 30 perms, and will not protect the structural wood from this type of summertime moisture drive under masonry cladding. The deeper the ventilation gap is and the better vented it is (both top & bottom), the less the vapor retardency of the drain plane matters, but it still needs something. Traditional #15 felt runs 2-5 perms, and would probably be enough if you have a 3/4" gap, vented top & bottom to the exterior. Fan-fold XPS siding underlayments with polyester facers run about 0.7 perms, and would be protective too. (read the specs- the facers determine the value, and they vary from manufacturer to manufacturer.)

With wood + 3/8" minimum rainscreen gap or vinyl siding (which is inherently back-ventilated) high-perm housewraps would be fine.

Whether or not you need an interior side vapor retarder (or even a true vapor barrier) depends on your local climate. If in the US, climate zones 4 and lower can generally go with just plain old latex paint as the interior finish. In zone 5, with at least 3/8" of "rainscreen" cavity space that's vented top & bottom between the brick cladding and the sheathing you can use just latex as well. In climate zones 6 & up you may have issues, but with 12" of cellulose buffering the wintertime moisture you're fine as well, but you may be required to run a WUFI simulation to get it by the inspectors. http://www.ornl.gov/sci/btc/apps/moisture/

If forced by code to use an interior vapor retarder, using something like Certainteed MemBrain allows the wall to dry quickly should it load up with moisture, yet still perform as a class-II (under 1 perm) vapor retarder during most of the winter.

Dana1,
Thanks once again!
When I looked up XPS fan fold siding under layment i found that Green Guard also makes a "drainage plane" (DC14) which is intended to be used over house wrap and under adhered masonry, it is rated at 1.1perm. It seems as this is really designed for this situation, it is also a fan fold xps product. It appears, to me, that the DC14 would add a 1/4" drainage plane while solving the moisture barrier. The instructions for the DC14 show it applied over "house wrap" I assume ZIP sheeting woud work as well.
An alternate, no doubt cheaper, solution would be 2 layers of 15 # felt over house wrap or ZIP sheeting and depend on the drainage plane in the EZ panel.

Felt is a tried and true product, and I have no problems with using it. XPS has shrinkage issues over decades of use, but it's easier to detail as a primary air barrier. But detailing the OSB/ply sheathing as the primary air barrier usually makes the most sense, and is the most durable, least susceptible to damage. Relying on detailed housewrap as the primary air barrier required a lot of care & patience to maintain it's integrity during construction.