You've hit on one of the trickiest situations in the core set! Thankfully, the short answer is pretty easy: The Wall's Forced reaction (and other Forced Reactions/Forced Interrupts, like Jorah Mormont (Core)) still initiates. The justification isnt too bad either: the game is initiating forced abilities, not the player.
The reasoning behind that, though, is a little complex - so here we go! First of all, Catelyn's ability is actually a sort of shorthand for "initate triggered effects" (but that is pretty obvious). Key to all this is that nowhere in the rules is there any reference to a player initiating a Forced Reaction/Forced Interrupt - in fact quite the opposite. We know that the first player resolves the order in which they initiate (Forced Interrupts/Forced Reactions, RR p8, as well as Priority of Simultaneous Resolution, RR p16), which is how we treat other abilities initated by the game - like the When Revealed ability on plots, whose timing is determined by the game itself. This may sound a bit convoluted, but keep in mind that just like in 1st edition, these sorts of effects are not any given player's responsibility to initiate/not, but mandated by the game itself (and, in terms of ensuring they happen, the responsibility of all players).
In summary: forced abilities are initiated by the game itself, not by your opponent, and are therefore not affected Catelyn's restriction on allowing opponents to initiate triggered effects.