Frame it this way: whatever you're trying to build, it'll go a lot more quickly if you've got an Engineer available. (The Wonders of the World that you can build range from actual buildings like the Hanging Gardens, to hypothetical future constructs like the Space Elevator, to metaphorical "wonders" like Rock and Roll. No, I don't understand that one either.)

The Great Wall was one of the Wonders in earlier versions of the game, but has been dropped from version IV.