Your gameplay was fine. Not remotely even a close call. This was a case of your opponent failing to understand how the Wall event works. Or she/he knew, but forgot all about Wall in the heat of the game.
For the almost-zero cost (ie, losing a game they should have won, in a game that you guys were not playing for money), your opponent learned a valuable lesson, and now is much less likely to do that sort of brain-fart again in the future. If you had just forfeited, you would have deprived your opponent of this important lesson.
(Of course, in games with no alternate ways of gaining or losing VP, I don't see the point of playing out a game where a player is hopelessly behind. But that's obviously not the situation you are talking about.)