I will begin with saying that I'm not a construction expert, but I did spend a large part of my career inspecting buildings to determine an insurance fire-rating classification (so I inspected before it burned down, rather than after). From an insurance perspective, a steel pole building in a normal fire circumstance (meaning something in the building caught fire enough to call the fire department and is larger than what a typical extinguisher would put out) without insulation or protection would last about an hour before causing structural damage/melting/eventual collapse...and would probably be built of similar components to what they're showing (this can also be affected by the fuel load inside...do you have plastic pallets burning or concrete blocks...more fuel load = hotter fire).
I'm not sure a pile of zombies could necessarily burn through the wall on their own, but if the fire grew out of control it would certainly weaken the structural integrity of the wall. I agree that it would be difficult, and without a roof to contain the heat it would be even harder, but a burning pile of walkers up against the wall would make me really nervous! So yes, I think my concern would be altering the structural integrity more than causing outright collapse :) Having said that, they could probably reinforce the wall in some way, or cause the fire a bit further away...I'm probably veering off topic, but any sort of fire without a control system makes me nervous!