Hi Adam,
In the 'wall closure' settings there is an checkbox marked 'show in 3d' which extends the wall in 3d and section - but it doesn't actually 'turn' the skin when you look at it in section; it will need some 2d clean up. This will also need cleaning up on plan if the wall and opening are set to projected.
The cavity closure settings do not show in section either. I presume this is by design as you may have a different detail above an opening e.g. a lintel, cavity tray and/or closer. You may have to model these separately and SEO away from the wall to get exactly what you need.