First, I get diplomacy messages to pay diplomatic points to join to in efforts, but I cannot initiate the same to other leaders. How can I make offers?
When you click on a leader's banner in the upper right, you should be taken to this screen. Here, since I'm playing as Lafayette in this game (who is a Cultural/Diplomatic leader), I have the options to propose Cultural Exchange (which comes with the Cultural leader attribute) or Local Festival (which comes with the Diplomatic leader attribute.) I also have Reform as an option, which is specific to Lafayette. If you don't have enough influence to propose an endeavor, or already have that endeavor running with any leader, the option will be greyed-out. As a note, Ben Franklin can run each of his endeavors with two leaders at a time, and while Civs have attributes associated with them, those do not open endeavors for you (instead, they'll give opportunities to earn points in the appropriate attribute trees as you play.)
Second, I am restricted as to where I can build walls. Can I over ride this? Find it very frustrating.
As TheGeoffrey said, you have to build walls in your City Center first, and then any additional walls from there must be adjacent to existing walls. They also must be on Urban Districts (so none around rural districts, unimproved tiles, or wonders.) As another note: It's entirely possible to build the Byrsa wonder and get zero walls out of it, since the walls it gives you have to be on coastal tiles, and if you have no coastal districts adjacent to existing walls, and/or your City Center isn't coastal, all you'll get is the wonder itself.
On the chance that you're talking about the Han Great Wall improvement, though, I'll note that Unique Improvements can only be placed on top of rural districts which don't have a resource on them. (So, like, if you build a farm or woodcutter or what have you in order to expand your empire, but the tile isn't a resource itself.) This can take a little getting used to, especially in the case of the Great Wall UI.
Finally, is there anyway the game can inform me as to the location if invaders in my territory. Very time comsuming to check every city each turn.
I try to always keep a unit (usually a slinger/archer) stationed in every settlement on Alert for this purpose, but the game will often send messages like "Settlement undefended" or I think "Settlement under attack" or something like that, when enemy units from IPs or AI Civs are invading. When this message pops up, click "Take me there" and it will bring you to where it's happening, but if you keep a ranged unit on alert in your settlements, it'll wake up as soon as there's a valid target to shoot in any case.
Hope this helps!
