Does the niche come waterproof out of the box?

The board itself is waterproof, but the seams where it meets the wall must be sealed with Kerdi-Band and thin-set or Kerdi-Fix. Once those joints are covered, the niche is waterproof and vapor-tight.

Can I install it in a regular drywall shower?

It is designed for Kerdi and Kerdi-Board shower assemblies. In other wall build-ups you would need to waterproof the surrounding area with Kerdi membrane to keep the system continuous.

What else do I need to install it?

Plan on Kerdi-Band for the perimeter joints, thin-set mortar or Kerdi-Fix, and the tile and waterproofing materials for the rest of the shower. Those are not included with the niche.

The board can be cut, but the opening in the wall must match the niche's outer dimensions closely so the flange overlaps and seals. Measure the rough opening before cutting.

Is it better than building a niche from cement board?

It saves the framing and corner-taping work and gives a factory-sealed interior. A site-built niche can be any size, but its waterproofing depends entirely on how carefully you detail it.