First of all there are 3 game modes online: PvE, PvE-Conflict, PvP.
This post of @Narelle it’s much clear about differences than I can be:
So for your first question:
Thralls attacks other players and can be killed by other players only during raid time in PvP (on official server it is from 17 to 23 o’clock), they do not attack at all other players and are immortal if attacked by other players in PvE or PvE-Conflct*
You said you enjoy " immensely building small cities in Sandbox games where crafters/crafting stations could be placed for the use of newer players or to create outposts in harsher locations where folks could find temporary refuge from hardship."
Well, the first thing, allowing crafting staion be used by everyone, is impossible in PvE and PvE-Conflict, I’m unsure about PvP, but the problem is a place like the one you have in mind will be destroyed in no-time in PvP.
To create outposts in harsher locations where folks could find temporary refuge from hardship, and let me say, from sandstorms too, are a common thing in PvE and PvE-Conflict anyway.
About Unclimbable walls: all walls can be climbed int his game. The difference is t3 FENCES on top of the walls (unsure if fences placed in the middle of a foundations walls will be legal after next patch) could prevent you from climbing having spikes.
In this game if you took damage while climbing you fall down.
I can tell you all T3 fences work this way preventing climbing, T1 and T2 don’t prevent climbing because they don’t have spikes. But we’re speaking of fences, not walls.
You can have a T1 wall with T3 fences on top of it preventing peoples to climb it, a T3 wall with T1 or T2 fences or without fences at all will be climbable.
I hope what I said can help you 
I don’t know you, but based on what you said I suggest you to play PvE-Conflict 
PS*: thralls can kill players in PvE and PvE-Conflict: they don’t attack other players, but if a player (not his owner) is in their “line of fire” while they are attacking an NPC or a creature they took dmg.