You are required to use whatever type of wiring your local code permits for this type of connection. If you are in a residential location then it is likely NMD90; if you are in a commercial location then it will likely require BX/AC. The shielding you are referring to between the can and the box isn't really BX/AC; its just flexible metal conduit. It looks similar to BX but it's not the same thing.
If you do use BX/AC, make sure to use plastic bushings at both ends of the cable so you don't nick the conductors with the sharp BX/AC.
Usually with cans, there is a friction cable clamp you just push the NMD90 through, however if you use BX/AC then you will need to use one of the punch-outs and a proper cable clamp to secure the cable.
Strictly speaking, that round metal mounting bracket on the back of the fixture is supposed to be secured to an electrical box.
It can be a shallow box, but it's supposed to be a box. You must protect the wires. You want that new garage to still be there 10 years from now.
I can't really tell from the photo, but the right shallow metal box should fit within that recess on the back of the fixture without you needing to cut a hole in the siding. But if you have to cut a hole, then you have to cut a hole (if you do, rent, borrow or buy a holesaw for your drill big enough for the box).
You could attach the box through to the OSB with screws, although personally, I'd lay a 2x4 flat side against the OSB inside the garage, toenail it into the studs on both sides, and screw the box directly through the OSB into that 2x4. So a stiff breeze or errant basketball doesn't knock your light fixture off the wall. :-)
Drill a hole through the OSB and the 2x4 big enough to feed the cable and to accommodate the clamp that holds the cable in the box. The cable has to be clamped into the box.
Then attach the round mounting bracket that came with the fixture to that box, wire everything up, attach the light fixture to the bracket that you attached to the box. That's the way it's designed.
If it's a metal box, it has to be grounded (screwing the grounded mounting bracket to it will accomplish this).
You also have to secure the cable inside the garage as dictated by your local electrical code.
Finally, I'd use a dose of waterproof silicone or caulk around the box, and then again around the fixture itself after it's mounted, to make sure water doesn't seep inside.
Good luck!
Best Answer
"Normal" 3-core electrical cable has a name, NM or informally, Romex. It is not listed for outdoor locations. For that, you would use its brother, UF.
However, if it is all-conduit between the two junction boxes, it is not illegal to use cable, just a major pain. The more practical choice is THWN-2 or XHHW, which is individual wires and easier to work with. Most hardware stores sell it by the foot. With this wire, there is an indoor and outdoor classification, but generally only one kind of wire is sold, and it is dual rated.