Question

When we apply force on wall, it doesn't move. Does it mean the kinetic energy generated did not get transferred into the wall

Answer 1

if there is motion only you can say a force is applied on the wall. otherwise no force acting

They are not related unless the force you apply manages to impart motion on the wall.
Energy=Force∗DistanceTravelled

In which case, the force you applied creates energy in the form of kinetic energy (and heat due to friction resulting from this motion).

If there is no motion, theoretically there is no energy. In practice, however, you would expect source of power that tried to move the wall to overheat or become extenuated, but in thermodynamic terms there was no energy in the process of applying the force to the wall.