What are some ways to fill a small gap between a wooden column and a concrete wall
How to correct for the gaps is a challenge if you just decide to "stick something in there" such as caulk or shims. I say that because anything you do along those lines is going to look crappy and kludged up.

The best solution would be to do a re-install by carefully measuring each individual piece and cutting it to the correct length. Done that way then a very small bead of exterior type caulk can be used to seal off the end of the beam to the wall if needed.

One possible solution that may work for the existing installation is to get some trim pieces that are cut and fitted around the ends of the beam and up to the wall to cover the gap. It would look something like this:



The trim pieces could then be sealed to the wall with caulk if so needed.