Dwarves freaking out on the walls during zombie invasion

Drafting and stationing the dwarves elsewhere should stop them from being scared by the zombies.

Civilian dwarves are scared beings. Anything that is hostile will scare them.

Dwarves in an actvie militia are almost completely fearless. The times they will run away are few and far between, so if you need your dwarves to stop running around in a panic and go somewhere, you can try to put them into militia squads and then order the squads to go where you want. Just keep in mind that as soon as the dwarves militia squad is activated, they go into fearless mode and may decide to attack what was previously scaring them. If they aren't armed and armored well, this means they will probably get hurt or killed.