Why is movement limited within enemies' borders outside the Great Wall?

Taken from here:

• Enemy land units must expend 1 extra movement per tile inside your territory. The wall encompasses all of the territory of the civilization that has built it.
• Free Walls in the city.

So the main thing to take from that is this section: The wall encompasses all of the territory of the civilization that has built it

And then within the trivia section:

Although the wonder affects all tiles under the owner's control, what you see on the map only extends up to 5 tiles away from the city in which it is built with the exception of coast and ocean tiles, and offshore islands (though the tiles still have to be under your control), and it expands every time you reload the game until it reaches the 5 tile limit in all directions.

The Great Wall graphic is purely ornamental. It's effect is civ-wide.