Even if you could shoot a coilgun through a wall, how would you aim it?
There are many situations where someone on your team has line of sight on a camping alien, but can't do anything or enough about it directly. So this "spotter" is how you know where to land the heavy artillery.
Other times just seeing where the alien ran in and guessing where he is in there by how far he has already moved (and thus how many time units he had left) can be enough for landing a damaging shot on him.
I disagree that the lack of damage through walls or destructable terrain is a hole in the gameplay. Being able to blow through every wall actually reduces the tactical complexity of the built environment to a very one-strategy game. This may change somewhat, however, when a visibility system is introduced to the game.
You might be overlooking some key limitations of damage through walls though if you think it would make for a one strategy game:
1) It doesn't demolish anything.
2) It doesn't defeat the stealth advantages of cover.
3) It has very limited penetration and/or area effect inside; it can't really hurt more than a couple targets behind more than a single thin wall.
4) The few weapons that can actually do this are specialized, unwieldy, expensive, advanced and/or ammo limited.
5) The battlescape conflicts are brief and fierce, with no reinforcements, so you don't have time to bazooka everyplace someone might be hiding, again and again.
6) It's a major factor in real life warfare, which uses numerous strategies.
As far as it being a hole in the gameplay or not, how else do you take out one or two aliens, held up in some small building, with very limited to no cover around it to approach with? Your only options are to use grenades or to storm it, but both of those require getting extremely close, which means losing (perhaps a lot of) soldiers almost certainly.
This is where some kind of artillery is supposed to come in, both in real life warfare and a well balanced strategy game. You have to have something to use against an enemy that is sticking to a very defensive position indefinitely. If they are consistently not doing anything particularly intelligent or active, just camping there, they need to be punished for it on the battlefield, not rewarded.
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I'm getting some conflicting signals on this aspect of the art direction, it seems like. Have you folks in the design team not fully agreed on the desired direction of the Taman?