Because you are confusing war and opposition.
Bane orders his followers to tyranize a town, to subjugate the villagers to his worship. Tyr sends a few of his followers to defeat them, freeing the town who gratefully erect a shrine in Tyr's honor. In fact, one boy is so moved by his saviors that in ten years he becomes a paladin and goes out spreading the Faith of Tyr and converting more people.
The goal, over time, is to deny Bane worshippers and have Tyr gain more, thus strangling Bane's power and eventually defeating him.
They do not need to assault Bane directly in his home realm, because they can defeat him indirectly by weakening his presence on Faerun. In fact, this is the accepted competition between the gods.
But the Wall doesn't work this way. You can't "strangle" the Wall's existence, it has already existed past it's creator, and all it would take for the gods to stop more souls from going into it would be to... just agree to stop. To petition for its end, to oppose its use... and there is no Deity listed in all of the lore who opposed the Wall in general. Am I taking a lack of evidence to mean something? Yes. If they opposed the wall, I would expect to see evidence. If they did not oppose the wall, I would expect to see nothing. I see nothing, therefore them not opposing it makes more sense. Silence speaks volumes after all,.
