I think there are some pre made destroyable walls in Sci-Fi Wall furniture. You could use one of those - makeing copies of it and all associated files - rename them all to a new entity name and you could change the texture to one of your own appropriately.
Look at the entities script file to understand the entities properties settinngs.
If you just want to fix the one you are using now try changing the dynamic/static properties setting and see if that makes a difference. Try the Destroy/Crumble script for the destroy script.
To understand how destroyable objects should be set up perhaps the best object to study would be a window with glass. Look at the script file for one of the default ones and you will seee how the glass is set to be destructable. Testing out shooting a glass window out should prove to you that objects can be destroyed - its just then a matter of understanding what you are doing differently to prevent your wall from being zapped.
Good luck