I feel like this post could get really long, so I'll try to keep it short initially and I can expand on it later if you guys want.
At the core, Gnomoria is not a game designed to be overcome. There is no final boss, puzzle or level. It's more about the journey than the destination. I focus more on providing options and letting you challenge yourself. I tend to prioritize around that and push fixes/features back. For example, your farms work underground, you can use the mining selection to discover caverns or dig stairs down to discover ore. I'll fix that stuff but it doesn't take priority over more serious problems. On the other side, if you set the kingdom center out far enough the world gets generated with large flat squares, making farming easier. I don't plan on "fixing" that at all.
With that said, challenges are definitely important. I tend to consider a challenge as the big difference between a game and a toy. I do have more challenges planned. I made a post a couple weeks back titled "Where is Gnomoria heading?" and listed combat challenges as one of the 3 main areas of the game. I also don't really want to force it on you. I could have gone the route of most survival modes and made the enemy difficulty scale up over time. Instead, it's based on worth and depth to give you more options, since those are things you have control over. I will prefer to tie things to gameplay where I can, but sometimes I'll just make it explicit, like peaceful mode.
Gnomoria is not hard if you don't want it to be. To me, saying that it's easy when you wall yourself off is like saying a platformer is easy because you can't die if you don't move. To be fair though, a more accurate analogy would be the issues with smithing and enchanting in Skyrim. I honestly think that the problem here is a lack of formal structure. I think if there were difficulty modes or an easier way to compare accomplishments (score, levels, time, etc), this wouldn't really be an issue. I'm more of a personal growth kind of guy. A lot of people prefer to compete and compare what they've accomplished with others, and there is nothing wrong with that. I added a peaceful mode for those who just want to build and take it slow and I've been considering adding a "hostile" mode for those who prefer to have more and tougher combat related challenges thrown at them. If enough people wanted it, I could even add a "true" survival mode that just gets harder over time and you have to race to keep up. But, like I said, for me the normal mode is less restrictive and relies on self discipline to a certain degree.
If there is never a way for a goblin to destroy walls, then there will at least be other enemies that a wall won't stop. In general though, I imagine there will never be a counter to everything that you can think up. So, it's like the bad joke, "My arm hurts when I move it like this, so I went to a doctor. He told me to not move it like that." For the time being, if walling yourself off isn't fun then don't do it.
On a side note, I initially had other plans kind of related to this. Fitting in more with the sandbox style, the plan was to generate a history of your kingdom that would reflect self imposed challenges. The idea was to embrace the kind of challenges people put on themselves, like only playing above ground or never having a military or whatever. It's pretty much on hold indefinitely because it would be a lot of work and doesn't gain a whole lot, since you can "unofficially" already do that kind of thing. I just never replaced it with another way to compare accomplishments. Most likely, instead, you'll see something like "hostile" mode or more world gen options that are inherently harder than others, like settling in a desert.