This is somewhat difficult to do! What I finally found that replicates your
problem is this. The walls are really 1-D shapes. That is, their behavior
is such, and if you select one, you will see the connection points only at
the ends of one edge. When you join walls, the intention is that the
connection points are to coincide. As long as you build by connection point
to connection point, all should be fine. However ...
Let say you're working with a horizontal running wall, and the 1st segment
has the connection points on the bottom edge. Now, add a 2nd horizontal
section by butting to the 1st. If the 2nd section has the connection points
at the top edge, the wall will just "butt", but the seam will remain. Flip
the 2nd section over, such that it's connection points are on the bottom, you
should get a seemless joint.
In a sense, the Visio wall pieces are "polarized".
HTH
Wapperdude