wall is a message broadcast facility for the local machine on which it's run. There is no capability for sending messages to remote systems. (See man wall for further information.)
If you're logged in from to a remote system with something like ssh, and wall is run on that remote system, the message will be displayed on all logged-in terminals. This will include the one hosting your ssh session.
Note that unless you a superuser, you can only write to terminals owned by other users where the user has not used mesg n (a default in a number of distributions' .profile files). The superuser can write everywhere regardless, and a user can always write to terminals logged in with their own user account.
If you're trying to send messages between two of your own terminals you might find write a little more focussed (see man write):
write roaima .... [Ctrl/D]
Or, for specific direction to the user roaima logged on to terminal /dev/pts/0:
write roaima pts/0 .... [Ctrl/D]
Some systems also include talk, xtalk, ytalk, phone, or one of a similar slew of applications. If these are installed on directly reachable systems it is possible to connect sessions across the network. (Note that I haven't tried these in well over ten years so they may be seriously obsolete.)
wallandwriterely on theutmprecords. Not every terminal emulator updates these records, in some it's a config option, while some others don't support updating these records at all (you might launch an external helper utility to maintain these records).