What is the purpose of a walled area in the vicinity of Heathrow Airport?
It allows them to do a run-up test of the engines without blowing debris at other parked aircraft, people, or things on the ground.

[Credit to Ralph J]
The walls have a structure that allows the noise of engine run-ups to be absorbed as well. Engine run-ups, especially multi-engine run ups, can be very loud. 

You can read more about IAC-Acoustics ground run-up enclosures here.