In the Model Data menu you see the list of all the materials in the walls (not just the exterior faces). Note that in the case of the sample provided, you get a material called “Default Wall”. This material is not a material in itself, it just the way to represent those layers of the walls that have an empty value for the material parameter. This will happen when the material has not been assigned to an specific element of a category.

To check the structure of you walls you have to select the corresponding wall and in the Properties menu go to Edit Type. In the Type Properties Menu go to Construction → Structure → Edit.