When you run /setblock ~2 ~ ~ minecraft:cobblestone_wall an invisible cobblestone wall will be set (aka, every single block state is false). I would have expected the wall to have the block state up=true, so it is visible.
- Run /setblock ~2 ~ ~ minecraft:cobblestone_wall
- Apparently, nothing happens
- Run /setblock ~2 ~ ~1 cobblestone
- Now, the wall appears.