I prefer no wall.
When you're building handmade guitars, it really makes things a lot easier. Also, I like to have as much of the neck into the body as possible.
Personally, I really don't see a reason to make a wall if you're doing a set neck. It all depends on what exactly you're building, though. The glue is plenty strong to hold it in place by three sides. Tonally, I don't see a difference. If anything, you might get just a hair more tone from having no wall and sending the neck through to the pup, but nothing noticeable.
But, like I said before, if you're building by hand, it really is easier to have no wall.