What causes wet/damp concrete blocks in a newly built shed?
Concrete and plaster are porous materials; water can penetrate them, and in fact cinder block is more or less a sponge for water. In addition, the mortar used to build the wall will have only just cured completely after three weeks, and while it's curing it will actively accept water.

To avoid this dampness, you should apply a sealant. There are sealants like Thompson's Water Seal which are designed to be re-applied regularly but which are clear and otherwise inconspicuous, or there are sealants like latex or tar-based coatings which are more permanent but also more obvious; your call. Sealing the outside is the better option when the option is available; by "outside", I also mean any courses of block laid down underground as a foundation, which requires you to dig a trench around this brand-new shed to access them.

Sealing the inside will prevent interior dampness, but it will also allow the block to continue to absorb water from outside the shed, and if you live in an area where deep freezes are a concern (the ground freezes deeply, thaws, refreezes, etc for several cycles each winter), the water trapped in these blocks will freeze, expand, and cause fracturing and eventual disintegration of the blocks and the shed.