This is referring to city walls: The "Straight", "Inside," "Outside" and "Gate" portions.

 I noticed this last night while trying to create a custom wall type, and thought it was just the custom ones. While trying to figure out what I had set differently than the core walls, I noticed that none of their effects play either.

  This is most easily seen in the Fallen style walls, since they have those little craters with ChimneySmokeNew effects tied to them. You really have to zoom in to notice it with those. Unfortunately, the effect on the wall I was creating was a vital part of its visual, so I'm going to have to shelve that project until this is fixed.

Thanks,
Gnilbert