Is it allowed for a wire to go directly into a wall from PVC conduit (with some connector)? Or do I need to install a junction box?
Generally speaking, wires within reach need to be protected. Above 9 feet is out of reach, doesn't need to be protected, so conduit not required. If you use conduit then you can use separate wires. If you don't use conduit then you use cable - normally non-metallic cable, aka Romex.
However, you do not normally need GFCI on permanently wired lighting (except above a tub or shower or certain other places). In fact, if you want to GFCI-protect a ceiling receptacle, you can't install a GFCI/receptacle in that location because the GFCI has to be easily accessible. At the same time, if the receptacle is only used with out-of-reach stuff (e.g., ceiling lighting or fan) then you don't need GFCI anyway, though local code may vary.
As far as conduit through the wall, I am pretty sure that is fine, but one of the experts will speak up if there is a problem. In fact, I suspect it is the opposite - running loose wires (as opposed to cable) outside conduit, even just to go through a wall, is not allowed.