When you are placing an empty hole in a wall you are placing a window or door object to make that hole.
It is in the settings of that object that you need to look for the materials.
You may or may not have a parameter to set the side of opening materials - it all depends on how the object was scripted.
If the material can not be controlled by the object then usually it is set by overriding the side surface (material) of the wall.
Barry.
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