Wallgroups are a complete PITA, so much so that I'm working on a large sub-topic devoted just to wallgroups and their problems. I see from the picture that you've very carefully lined up the edges of the polygons; you don't need to be so accurate as they'll still work if you have everything overlapping. Where your 'hovering' wall is set makes it effectively a normal wall, which is why it is working correctly, because the baseline is outside the cre-accessible area but any cres that move will walk into its sphere of influence.
A really dirty trick to get a hovering wall such as an arch is to simply not to add any flags at all. Any part of a cre that crosses a polygon boundary will be dithered, regardless of where its feet are.
@Avenger: hovering wall comments noted. I've only ever tested one and it worked, so I've never hit the assertion problem.