The Tile Council of North America produces a handbook, updated annually, that is the industry bible on accepted methods to build most anything with tile, including showers. There are LOTS of different approved methods, each has its strong and weak points, but all will work IF done properly.
Yes, you absolutely need to waterproof your pan on a cement substrate, although some installers (notably in FL), seem to thing otherwise. Building a preslope, adding a liner, then a setting bed is what is considered a conventional shower build. Works, but there are newer, better methods, IMHO. And, in a conventional shower build, that layer beneath the tile DOES get damp. Neither tile nor grout is considered waterproofing...it is the decorative, wear surface. The whole thing should be water tight prior to adding the tile.
Personally, I prefer a surface sheet waterproofing material. While liquid applied methods can work, they are not like just applying paint on the wall...
Building a properly working shower isn't technically hard, but it is very detail oriented...mess up one thing, and it can fail. It's best to not try to reinvent the wheel and follow one of the approved methods.
With a sheet applied waterproofing membrane, the entire shower becomes waterproof, not just the pan, and that puts the waterproofing on the top layer, immediately underneath the tile. This means the shower dries out quicker in between uses.
Check out
www.schluter.com and view some of their videos using Kerdi. There are other similar materials, but they've been at this for decades, are international, so have lots of experience. Also, check out
www.johnbridge.com for help with building your shower.