House wrap is water barrier and AIR barrier. Yes, you need something between the sheathing and rain screen, it can be either side of the Rockwool depending on which wrap and the construction of the rest of the wall assembly, but next to the sheathing is normal.
If you are buying osb sheathing I would go with zip or similar. The built in barrier layer uses less plastic and is much more resilient to construction damage and weather if you have a slow build timeline.