Yes, you should take into account walls when calculating distance to Fenn.
In the rulebook under movement on page 8 (emphasis mine):
Walls: Indicated by a black line that most often appears on the edge of map tiles. Two spaces separated by a wall are not adjacent. Figures cannot move through or trace line of sight through walls.
There are two pieces of information in this section that show walls impact distance. First, characters can't move through walls, and any line of sight (LOS) actions can't be taken through a wall. This is pretty important because it indicates how actions can be taken in regard to walls. I would consider the special rule for this mission ("If the hero is Fenn or is within 3 spaces of Fenn, the figure disarms and retrieves the explosive instead") to be a LOS ability.
Second, two spaces separated by a wall are not adjacent. You cannot travel between the two with one movement point. The "distance" between these spaces is more than one because of the wall. This means that if a wall is between two squares that are three spaces apart on the map, you cannot use three movement points to move between them; you need more movement to get around the wall. This would indicate that the "distance" between the two squares is greater than three.