How exactly are you seeing him? Are the walls semi-transparent or is it as if he is just behind nothing?
If they are semitransparent, then you probably have turned ghosting on. Try GHOST OBJECT OFF levelobjectnumber
If it is as if he is not behind the object at all, you might have disabled his zdepth? Try ENABLE OBJECT ZDEPTH soldierobjectnumber. That's a command in DBC, I'm not sure about pro though.
The only other thing it could be is a glitch in DB, and it wouldn't be the first of this kind. Sometimes with very large objects DB has problems recognizing which one should be in front of which.