I know i would get so many downvotes about this but ...

So far there are only 2 projectile blocking walls in the game. Let's compare them, and the kits they are on, to Anivia's wall, and the kit it is on.

So. First we have Yasuo's wall. His is the most ubiquitous one, what with destroying every projectile. It's on the kit of a rather fragile melee adc who either has to dodge all damage directed at him or die. The windwall fits a niche he needs, as every melee adc has some form of massive protection, whether it be Trynd's immunity to death, Yi's untargetability and 70% damage reduction, or Fiora's dodge everything.

The second is Braum's Unbreakable (Unstoppable? I don't play Braum enough to know the exact name). It blocks one projectile, and after that takes all the damage dealt, reduces it, then deals it to Braum. It's weaker in that it doesn't outright destroy anything past the 1st projectile, but stronger in that it can be moved around, has a lower cooldown, and is on a champion that itemizes cooldown reduction and tankiness. Overall it helps Braum fill his defender niche better without going into unfair.

Then we get to Anivia. The champion with a rather reliable, very quick medium damage combo from range, high slows, a entire 2nd healthbar if she plays well, and a terrain creating wall. She's at range most of the time, and the times when she isn't she can easily land a stun and nuke. More importantly, she is both already ranged (giving her more time to dodge projectiles) but also already has rather great safety even for an immobile champion. Her wall is one of the few terrain creating abilities in the game and can outright block most paths stopping any enemies from getting to or escaping from a place. Its also a rather great ability in that it's purpose is clear: block off escapes or block off ways to get to you. Adding a windwall effect both muddies its purpose (do you use it to block abilities now, or save it so you don't get fucked in a jungle gank? Who knows!) and adds a large amount of unnecessary power: Anivia is ranged and already has a 2nd lifebar that discourages most mages from winning against her: she doesn't need even more power vs them.

Basically, there is no reason that I know off to add a windwall effect to Anivia's W. If such a thing WERE added it would come at rather large nerfs to make up for Anivia suddenly outright destroying every midlane matchup due to large reliable damage AND immunity to projectiles.

well it's not like anivia can dash 30 times per second, and her wall actually has a significant cooldown, so.. yea, why not?

only issue is that the walls of the map don't block projectiles, so it makes no sense for walls that mimic the map walls to

Or instead make Yasuo's wall also interact with his teammates just like Anivia's, also blocking allied projectiles.

She'd still be less annoying than him; but at least it'd make sense for her's to block projectiles being a literal wall.

It already blocks movement, and Anivia has Aoe CC, she is already annoyingly safe and making her wall block projectiles will break her.