I'd suggest you drill through the plasterboard, and poke through to see if there is mineral wool or rigid plastic foam behind.
For anything heavy, drill right through to the brickwork behind. It might be 50mm or so. You will need long screws and, for ease, long plasplugs (frame fixings). On the exterior walls with brick and block there will be no wooden framework. Internal walls might be made of wooden studwork, in which case you can locate and drill into the studs. Or they might be a composite with nothing but plasterboard and foam.
Beware of cables, which will (should) be in vertical or horizontal runs from visible sockets and switches (on either side of the wall) or within 150mm of corners of the room. There may be pipes near radiators and taps.
Light things like calendars can go into plasterboard fixings, which is a specific type of wall plug.
Sounds like drylining, i.e. plasterboard with insulation behind. There should be timber uprights at intervals which you could fix to, but sods law says they'll be in really inconvenient places.
Plasterboard rawl plugs are ok for light/medium use but I wouldn't use them for anything particularly heavy such as curtain poles for thick curtains. Similarly bookshelves might be too much. I have, in the past, had to open up the plasterboard to fix an extra noggin between uprights in order to get a strong enough fixing for a curtain pole, then replaster.
Sorry, not much help I know. I'd go for freestanding shelf units!
The house is a brick new build. It's on all walls, external and internal. We need to put shelves up on both types. The pantry shelves obviously need to be quite sturdy. DH was talking about building a wooden frame to put them on but neither of us knows much about DIY. The insulation makes all the walls sound the same when you tap them, unlike our old house where there was a clear difference.