Are you drilling through the new roof, old roof, or both? The old roof you can probably go at without too much concern since the new roof is the primary now. Any penetrating through the new roof should include adding an appropriate boot that gets lapped into the shingles or detailed appropriately. Going through both will require a combination of the two approaches.

If there are other routing/mounting options like through a wall you’ll typically want to run it in conduit since most wire isn’t UV stable.