There’s a lightmass importance volume yes, and yes this is just how it behaves. Probes are linearly interpolated and don’t store any sort of occlusion information, so they will interpolate lighting outside of the wall if the wall is between probes.
Unreal’s default probe spacing is 2 meters, so you can imagine… walls are pretty much always going to be between probes.
Dealing with this is normally the biggest headache of using baked lighting, but in very close second to that is managing reflection captures which is why it would be so cool if lumen reflections + baked lighting worked with software raytracing 