In SH 4, why didn't Henry try enlarging the hole in the wall between his and Eileen's apartments? And if he did, why didn't they show it, instead of letting the player assume that the person to carve the message into the wall was telling the truth, and he would have the same problem? You've already got the pipe from the wall, and there are screwdrivers and at least one hammer in the hall closet, so it's not like there weren't any options for tools to put into the cutscene that had to be available at the time.
Henry has been stuck in the room for days, he must have tried to break his way out of the room. It must not have worked. The room is supernaturally resistant to attempts to break your way out, and any apparent ways out are merely there to mess with you, or further the main villain's plot.
One of Joseph's notes says that it took him days to make that hole, and it wouldn't get any bigger no matter how much he chiseled and hammered at it. Henry will say that the windows won't break if you look at them early on in the game, so the same unbreakable force probably applies to the wall. The only reason Joseph even managed to make a peephole is because it's all part of Walter's plan for Henry.
The point was, Henry was never shown checking. Joseph checked the windows ("still locked"), and you know that, but Henry doesn't know that. There's no reason for him to assume the mysterious writer was telling the truth — that it would be impossible to shove the pipe through the hole in the wall and, if not make it bigger, at least attract some attention.
Henry has been trapped in his room for five full days before the game starts, so it is to be assumed that he has already tried obvious solutions like the window and failed.
Considering the huge number of paper notes he gets/collects, he could have just scribbled something on one and shoved it through the hole... but The Room would have probably magically closed the hole while he wasn't looking, eat the pen, or Eileen would have just swept it away carelessly.
At one point, the Superintendent pushes a note under Henry's door; instead of the note, it came out as a bloody, smudged piece of paper (a alternate reality version of the note?). It's likely if he tried to push it through the peephole, it would have either just disappeared or come out as a empty or smudged piece of paper.
Will the real Walter please stand up?
Why are there three different versions of Walter — the adult version, the boy version, and what I've always presumed to be the "true" Walter, the monster that is the final boss, and why are they so different?
Adult Walter is Walter the serial killer. The boy version is Walter's projected childhood self. The monster is his physical body, which has become a manifestation of the same "God" that the cult's been trying to summon.
The game doesn't exactly take place in reality at all - Room 302 is almost definitely completely separated from reality, which is apparent enough by the fact that Henry can't get anyone to hear him when he yells out, even when two people are standing just on the other side of his door. This makes the realization that there's more than one Walter a little easier to swallow. Really, all three Walters - or even all four, if you want to get technical and also count the corpse Henry finds in the back room - are the "real" Walter, they're just different parts of him. The corpse is the physical body of Water which he managed to separate himself from with his suicide, which completed the first "stage" of the 21 Sacraments and allowed him to even begin to create a world separated from reality and populated by his own memories and subconscious in the first place. The child version of Walter represents the part of Walter who wants to peacefully reunite with his mother where he will be wanted, safe, and warm - Walter's "innocence" as I've seen it referred to, and perhaps maybe even a symbol of the childhood and the life he was robbed of by the cult (or even by his parents). The older version of Walter, the man in the blue coat, is Walter's spirit - the killing machine brainwashed by the cult into completing the 21 Sacraments, for whom seeing his mother is a goal, but not the ultimate main attraction like it is for younger Walter. As for the horrible final boss thing, you got me. The Crimson Tome calls it Walter's "true body", and I'm sure you could come up with a hundred thousand things it could represent.
"I did it, but it wasn't me!"
In a note that you find in Silent Hill 2 about Walter, it reads thusly: 'But I do remember that just before they arrested him he was blurting out all sorts of strange stuff like 'He's trying to kill me. He's trying to punish me. The monster... the red devil. Forgive me. I did it, but it wasn't me!''. So, assuming that the man they arrested was indeed Walter Sullivan, what does that say about Walter's murders?