The wall story seems important, but many parts of it do seem to be modeled after the walls of Elantris. A giant wall with stairs on the side to keep the "bad people in." The "bad" people have white hair.
However, the rest of it is different and I think those differences and the similarities are important.
The similarities hint that the people who told the story knew about Elantris.
The differences are harder to figure out what they mean. In Elantris, the people inside the city knew they were being kept in. Why do the people in Shallan's story not realize the wall keeps them in? I like this idea that the story foretells that the humans are the bad guys. I have felt that the Parshendi acted far to nobly in the Way of Kings for them to be the "bad guys." (The twist that they are bad guys against their will does throw a wrench in it.)
What does the stealing of stormlight mean? Did they steal actual investure or the ability to use it?