The premise in FE is that the wilderness is really, really dangerous. What's the best way to counter that? Walls and defensive units! Yet in FE we can only generate units for defense along with the ability to create city improvements that confers bonuses on those same units.
Walls would add strategic value, allow for defensive strategies, and decrease the need to constantly be running around exploring and running back home to defend against monsters/troops.
The ZoC currently acts kind of like a wall, but more from an AI perspective than having any sort of real bonuses conferred.