I'm confused, is immigration actually this big of an issue to your average republican voter?
On an individual, probably not. Immigration reform is a major part of the conservative platform, and so is something the potential candidates are going to show support for, sometimes to ridiculous extremes. The American election process is pretty crazy; right now the candidates are trying to appeal to the party members who will be involved in the selection process somehow. Those Republicans will be care about immigration. Of course, Walker's justification for the Canadian wall isn't so much immigration as it is about national defense. Walker claims that terrorists come in across the Canadian border. I did a project on organized crime in Canada for school this year, and Canada is a source of some terrorists, and much larger number of drug smugglers and other elements of organized crime (Vancouver is one of the drug trafficking capitals of the world). However, the vast majority of the border is remote enough that a wall would probably be a waste of efforts.