I don't know if this is a very satisfying answer, but I think for a lot of people there's no real reason behind it. I will always send someone a private message if I have a more lengthy message for them, or something that I don't want other people to see, but if it's not of a private nature I wouldn't be against posting it on their wall. I've been on Facebook for almost 7 years and have always seen this happening, and it never occurred to me that there was anything unusual about it. I hardly ever write on other people's walls at all, but if someone started a conversation with me on my wall, I wouldn't think twice about it.
