Walls have never been useful against Mother Nature
It's certainly true that on a calm day with no breeze a thick concrete or lead-lined wall can have value. In that one case radioactive particles are sitting on the ground outside the wall and the emitted radiation would be stopped by the wall.
Now, I know we're comparing apples and oranges here, but to give you an idea of how little concrete alone is worth against radiation...
To reduce typical gamma rays by a factor of a billion, according to the American Nuclear Society, thicknesses of shield need to be about 13.8 feet of water, about 6.6 feet of concrete, or about 1.3 feet of lead. (Source)
Whether or not you need to reduce the radiation a billion-fold depends on how much radiation we're dealing with, which you don't explain. The odds are good that you don't need that much protection, but you're still needing to either line the wall with lead or have a stout, thick wall. Granted, if you put enough concrete in place, you'll eventually stop the radiation... but that's a LOT of concrete. There comes a point where the people of your apocalypse simply can't afford the wall.
But keep in mind, we're only talking about a calm day. On any other kind of day a wall is worthless.
That's because radioactive particles are carried on wind. And no matter how strong the wind, the particles being heavier than air, they fall. The greater the diameter of space the wall is protecting, the less valuable it becomes (or the higher it must be to make any difference whatsoever). You don't tell us how much area you're trying to protect, either.
But, because the time of radiation exposure is more important than the fact of radiation exposure, the question is what's easier, clean-up that you must do regardless of the wall, building a higher wall, or protecting individual buildings?
If you're trying to protect your people against radiation...*
...what you're going to have is a fundamentally underground society. From a suspension-of-disbelief perspective, you could claim that a forest of leaded glass skylights to provide natural lighting to your underground community. But underground it will be where it can be shielded with lead-lined rooftops.
Or, for the discerning homeowner, you could be half-underground, half-above ground with lead-lined (or unreasonably thick) walls and leaded glass. Thus, when the dust is blown in (and it will be blown in), it doesn't kill everyone. And yet that lovely view of the post-apocalyptic wasteland goes unhindered with your favorite Chardonnay.
To answer your question: No, it doesn't help
But that shouldn't stop you from using a frequently-used post-apocalyptic story trope. As I said in my comment: zombies. And people who might want to steal your lead.