Should walls be made from cubes or planes?
Depends.
In most cases you can achieve same result with either.
However, if you use thicker walls, like cubes, it is easier to deal with collisions of faster moving objects.
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With a plane, I can still make the box collider thick. Would a cube still be better for collisions in that case?
No. It just gives you visual feedback, of wall/collider thickness.
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The mesh the player sees actually has nothing to do with the physics interaction of the collider, unless you’re using the same mesh as a mesh collider. Though the game would be unplayable, from the physics side you could make walls just with colliders without cubes or planes at all (obviously difficult to navigate if the player can only feel the walls but not see them).