There are a number of possible reasons. A common one is that in PC Lemmings, interactive objects must have index from 0-15 to take effect, otherwise they will be "fake" in that the objects are displayed but do not actually affect lemmings.
It's been too long since I last used LemEdit, but if you select the problematic one-way-wall ("OWW"), in the bar at the bottom of LemEdit there should be a field that shows the index of the object ("idx" possibly). If it's 16 or bigger, manually enter a number in there that's 0-15.
Another reason may have to do where you placed the OWW. You should make sure your OWW object's y coordinate is a multiple of 4. If it isn't, the object will still work, but due to limitations of the game engine, the area of effect will be shifted up by a few pixels if the object's y coordinate isn't a multiple of 4. (This issue holds true for any type of interactive objects in PC Lemmings.)
If the above suggestions don't seem to fix the problem, please attach your level file here and I'll take a look.
