Eu finalmente encontrei uma resposta do próprio Martin:
BHW: Why is the wall so tall?
Martin: To keep out bad things.
Hadrian's Wall was an inspiration. In fantasy, everything is bigger. A friend of mine, Lisa Tuttle (we wrote Windhaven together), had just moved to Scotland and was giving me a tour. We were driving in her car and got to Hadrian's Wall at the end of the day. The tour buses were leaving. We walked along the top of the wall just as the sun was going down. It was the fall. I stood there and looked out over the hills of Scotland and wondered what it would be like to be a Roman centurion from Italy , Greece , or even Africa , covered in furs and not knowing what would be coming out of the north at you. I wanted to capture that feeling.
Hadrian's Wall is impressive, but it's not really tall. A good ladder would be all you need to scramble right on over it. When you're doing fantasy, it has to be bigger than in real life. The castles are grander. Fantasy is painted in larger scale and brighter colors.
Fonte: George RR Martin fala sobre gelo e fogo, um livro ajuda a entrevista exclusiva na Web (Arquivado: 2007 , 2014 )
Portanto, parece que a resposta não é muito mais do que "porque é assim que as coisas estão nos livros de fantasia"!