lunar already stated why. But I'll help and explain it i guess...
when a sieg uses magic defense, it makes them invincible to dainn's magic. So, lunar suggested having maxed ice wall so you can run away/keep away from the sieg until his magic defense wears off. Since max ice wall has a longer duration than level 1 ice wall.
so as long as you and the sieg are on opposite sides of the wall, he can't combo you or drag you in to combo you with provoke.
It is just better to have something to block them when you are being chased by someone invincible XD