It's been a while but I'm quite sure there are some wall textures in the demo. When you see the materials, see if there is a 'hide unused' box that can be cleared. And placing an object next the wall is not a good method because it only works when the wall is straight.
The object won't have merged with the wall. You can only select an object with the Object button selected, and you can only select a wall with the Walls button selected. If you're having trouble selecting an object, try clicking and dragging around the object, instead of just clicking.