Simpler than a long explanation, here is a video about this bug: I use all DLCs, no mods on Steam (1.1.4) My config: Windows 7 (64 bits) Intel Core i7 2600 Radeon HD 6850 (1Go) RAM: 12 Go
Almost all of the room layouts in the game are litters with destructible walls that can be broken with any AoE damage. Many of them have secret items hidden in the walls; in fact the room you started in is one of the easiest to spot!
While this might be surprising ("Even solid inorganic matter cannot tolerate the inanity that is a sparkling vampire!") I'd list this as intended behaviour.
Thank you for your clarifications. I played about 200 hours on Dungeons of Dredmor and I didn't know this game mechanism. (Title changed)
I think that's still a big because I'm not sure all the walls in that video is supposed to be destructible, but it's probably the same one about walls that are not destructible becoming destructible under certain circumstances that arose after fixing that old bug that made destructible walls indestructible after a reload