Yes, traditionally all stone/masonry buildings (particularly medieval buildings) had these "holes" (they are called "buche pontaie" in Italian, literally "scaffolding holes") to allow for both the scaffolding and lifting devices to be anchored to the walls while building them (and later for maintenance work):

https://it.wikipedia.org/wiki/Buca_pontaia

The English word for it is "putlog hole" AFAIK:

https://en.wikipedia.org/wiki/Putlog_hole