I'm sure I've seen the wall go around other cities. I guess it takes in only tiles that are connected to the capital, meaning you can't get two discontiguous walls, which makes sense. Anyway, the wall always operates for your entire territory, the graphics are just graphical.
Great Wall to Great Spy for research visibility was a good plan, I even had it with the same "naughty or nice list" comment.
Your expansion looked pretty slow, though, which would be why the victory took until the 20th century. I had your Vancouver spot at 2000 BC (not 1000 BC), then two more cities farther south beating Frederick, and other spots like the rice peninsula and stone island also earlier.
What happened with your diplomatic landscape? The scenario was built for an easy diplo win, with giving away techs and AIs with easy favorite civics. You couldn't get any votes, why were the AIs unfriendly?