These walls are ornamental and must be built in a harbour. They also function as pathways between the warehouse and structures built off shore. Harbour workers will use these quay walls to transport goods between the warehouse and small storehouse, large storehouse and the harbour master's office. Since these animations are just to make the harbour look more 'alive', no actual goods transportation between storage buildings takes place.
Upon placing quay wall segments next to an Occidental warehouse, its fundamental structure will be replaced by a quay wall. This does not work for the Oriental warehouse, however, but you can have it look integrated by first placing a quay wall of the same size as the warehouse and then place the Oriental warehouse on top of it.