Hello,
Wether you want to destroy the wall or not, is up to you. On revolt worlds, it's advisable to do so when revolting the player, and trying to keep it around 0 up untill your Cship hits.
As for conquest worlds; at the start of a server, it can be an advantage to keep the wall up, since the units you send to support your siege will benefit from the wall. However, later on in the game, it will be detrimental to keep the wall up if you are trying to put the city under siege, since the defending units will be a lot more stronger behind a level 25 wall, than when the wall is level 0.
As to your question: In order to conquer a city, you will have to destroy all units in the city; both naval and land units, though the wall does not have to be destroyed per se. Depending on what kind of world you play; Revolt: you will need to send your Cship to arrive in the 2nd stage of revolt, and make sure that the city is clear of any units when your Cship hits (Even if the Cship wave is the one that clears the final units remaining, the conquest will be succesful). Conquest: You will need to land your Cship after having wiped out all units in the city you want to conquer, and then maintain the siege for 24 hours (Depending on world speed: 24/world speed = ammount of hours you have to maintain the siege).
I hope this answers your question sufficiently.
Regards,
Acupuncture