I'm noticing that some people have Walls and some people don't...is that true?

I went to one of the user's activity tab and there's no way for me to leave a comment on his wall even though we are friends.

Is this an adjustment that he has to made on his end, or a glitch with the system? 

The only way a user would not have a journal is if you made a new profile template specifically for that user. It is likely that they changed the Add Comments permission in the My Settings section.

Also, make sure you are not a superuser and that both accounts are part of the Community and Member roles.