Yes! It is not good in the winter to have moisture in the coop with temps dropping near or below freezing, it can cause frostbite. Also, the coop is for them to get out of the weather and protection from predators at night. Even with an open air coop they need some way to get out of the weather.
I am not sure what you are talking about, water proofing the coop, but you definitely want it to be dry, draft free with plenty of ventilation in the eaves or ceiling. Chickens poop and breath all night and produce a lot of moist air that needs to go somewhere. So lots of venting in your eaves will help to suck this moisture out of the coop to keep them dry. Roost bar should be low to the floor away from this moist air and colder air at the ventilation up high.
You might want to do some reading in our "housing your chickens" section in our learning center for more tips on working your coop...
Hello and Welcome To BYC! X3 depending on what you were asking, you want the coop to be dry and draft free. If you have a wooden or one of those prefab wood coops you probably do want to water seal or paint the wood so it lasts longer.