Yes, the reason you cannot place Doors/Windows into Walls located in a Hotlinked Module is that Hotlinked Modules cannot be changed in the host file, only in the source file, and placing a Door/Window into a Wall would have to change the Wall geometry.
As far as I know, Walls in a host file should intersect with Walls in the Hotlinked Module file if their Layer Intersection Group numbers are identical. Could you provide some screenshots about this issue and the Layer Settings Dialog? Also, check that the View > On-Screen View Options > Wall & Beam Reference Lines toggle is OFF.
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