Welcome to the Bunnings Workshop community. It's a pleasure to have you join us, and thank you for sharing your question about waterproofing.
I tend to err on the side of caution and would recommend waterproofing the exit for safety. The shower room is exposed to a great deal of humidity every day and having that safety net in place is better than not having it there. The benefits of having the waterproofing in place outweigh the minimal cost of the product. It will protect the wall of your bathroom for years to come.