Yes, he is meant to hit the wall. But only if he is travelling at a speed slower than the speed at which he is travelling at the bottom of the screen on which you dropped him. As boxmein said, the stickman passes through the wall because at that point it is too thin to stop the stickman, which would be falling >4 pixels per frame. It's like photons, which pass through one or maybe two pixel thick walls because they move at a speed of 3 pixels per frame.
Dude, what it is is that the stickman's head falls throught the wall, but his feet stay attached. Ergo, as his head passes outside of the screen, he dies because the head contains the actual pixel that represents the stickman. Technically, he doesn't pass through the wall, because if you do the same thing but have the wall higher up away from the edge of the screen, he bounces straight back up into a standing position.
If you are so adamant that you don't want it to happen, as nmd says, code it yourself ;D