The wall page is set to allow access only for administrators and users in the default "Users" group. As the Users group does not exists in the AD role scheme (actually, it exists, but it is not a security group and cannot be used), it is only a leftover from the standard forms authentication scenario. Since your AD user is not assigned to the correct role, the Security Exception is thrown.
I would recommed that you set the security for all such pages (wall, messaging, etc) in advance, by logging in as administrator. These pages do not work for unauthenticated users - this would not make any sense. You should also add AD admin role (usually "Admins") to the AdministratorRoles setting in web.config.
You can set page view roles in the page management utility in the administrative backend, or via CustomAccessRoles property in code. I don't know what will be your default role for authenticated non-admin users in the AD scenario (DomainUsers?), but in any case it should be added to wall, messages and similar pages.