Jay, the strongest tornado recorded in the UK was no more than an F0. That's the smallest they bother to record. Typically we'll get one or two a year at most.
A minor F0 will do a little bit of damage. Suck off a few tiles, blow over a wall maybe.not much more.
Now, think about how many tornadoes the US gets in a year. Most of those will be greater than F1, and a good (and dangerous) number will be F5, the quarter-mile wide monsters that destroy everything in their path. An F5 would turn a brick terrace into a neat pile of rubble on the other side of the street, turn every tree on the road upside down and pile all the cars on top of each other just for fun.
Compare like with like.
Now, as for why we use brick, I'll tell you: weather and resources. We're a wet country and we have lots and lots of clay, whereas the south-western united states is a dry country that has lots of timber. In cool, wet environment the most appropriate materials are those that keep out moisture, require little maintenance to avoid rain damage, and which still provide decent insulation. Brick fulfils all three requirements very well.