Wall Gallery in MediaPress are the galleries which contain media uploaded from activity stream when BuddyPress is active. All members/groups can have wall galleries if the activity upload is enabled.
For each of the component(specific member/group), Depending on the media types allowed to them, a number of different wall gallery is created. For example, If members are allowed to upload photo, audio, then two wall galleries for each member will be created, One for the Photo and one for Audio. These galleries are created dynamically(when a user uploads media).