You're right - the $30 billion cost of a wall is not so large compared to the federal budget and if it were built, the world would not come to an end (although we'd be on the hook for ongoing maintenance costs which are estimated to be equivalent to paying the cost of the wall every seven years forever).
Some of my objections are,
1. If we give up wall money as a result of a government shutdown, it will encourage bad behavior in future Presidents. If a future President of either party is unable to convince Congress to go along with his/her pet project, s/he will simply shut the government down until Congress gives in. And will do it again and again.
2. I would be willing to make a deal where Republicans got their wall and Democrats got something they wanted. But when I posted questions along the lines of, "What deal would you strike for Democrats to give you wall money?" here, the most common answer by far was, "Absolutely nothing."
3. There's no intention of paying for the wall (and associated maintenance costs) via any other mechanism other than putting it on the nation's credit card. If Trump wants the wall, he should be willing to roll back part of his tax cut in order to pay for it.