Hello,
I'm Assuming that when you say "I click on a wall or a column" you are using the surface painter, this is the way this tool is meant to work, if you want to replace the surface on a entire wall then, you should go to the wall dialog and change the surface override there (see pic) also for the column is true.
But just as a side note, depending on what you want to achieve it could be a good idea changing the wall composite with the material you need instead of painting it unless you are changing only the color, remember that a surface in Archicad is only how a material looks, and a material is a representation of a actual real material that has more properties that only how it looks.