Notice in this picture how a 2x4 has been secured to the wall. The
2x4 was used a guide for the circular saw and masonary blade to cut the
mortar between bricks and form a ringlet.
The guide ensures a steady and accurate cut for a nice fit with the membrane.
If a membrane is very thick it can be difficult to bend it at 90 degrees and it may not stick to the substrate as well.
The manufacturer may recommend a cant strip to ease the transition of the membrane from horizontal to vertical.