Is it a problem that my bathtub drains directly into the wall?
OK I am going to answer this like you are in the US.   It doesn't differ much but to give a baseline.

To sum it up - This is F'ing crazy as hell, unsanitary, and not code.

So it looks like there is a basin siphoned off from the foundation that drains to a sump pump and the pump pushes water to... who the hell knows (it doesn't matter).   

Issues:


If there is a floor (basement) below the tub then a lot of water could eventually cause a leak into the adjoining wall.
If the pump stops working or gets clogged you have a backfill of sewage.
Yep I said sewage.   Bathtub drain off is sewage not soapy water.   There is pee and feces that goes down that drain too.   You aren't taking showers before you shower.   
Eventually mold will start growing.   It looks like whoever created this mess did it probably in a smart mcgyver type of way - the materials look to be stone/organic that resist mold.   It can't last like this forever because eventually your hair and other things will get down there, create a spot for mold to grow and it will.   
Plumbing like this would certainly void any insurance in almost all areas of the world.   If something happened your insurance wouldn't cover it for sure.


Final thoughts...  This is just weird.   I have seen things like this in France but they were installed WWIIish.   Everything you are showing, shows new materials from the past 30 years.   That makes it really weird.   Also the tub seems rather elevated.  Which makes it even weirder.   Why exit like this when they are for sure going to go downhill to the main branch?     

Also my answer isn't meant to scare you or cause you to react drastically.   This could function for quite some time.   It might not be completely sanitary (you have fecal matter right below you) but a shower with low usage - a shower a day... This thing could work for years until the pump goes out, gets clogged or the wetness effects foundation pieces.

And to clarify - YOU cannot fix this.   Your landlord needs to run the shower drain to the main stack so that this can exit with the rest of the sewage from your house.