It is very important to remember that Slope only analyses overall stability.
Representation of the shape of a wall and providing parameters (e.g. high cohesion) just attempts to keep the slip surfaces from passing through it. The behaviour of the retaining wall and other possible failure mechanisms must be considered separately. So although, retaining walls themselves can't be put into Slope, you can represent the material that the retaining wall is made from.
To do this you would select 'Materials' in the Gateway and enter a material with the same properties such as unit weight, cohesion and friction, as your retaining wall. You will then need to double-click on 'Strata' in the Gateway and enter the coordinates in the shape of the retaining wall. Note that strata can not cross each other, vertical surfaces need to be represented slightly off vertical and you need to define the strata the full length of the section.
To ensure that the slip circle doesn't pass through the wall you can double click on 'Slip Surfaces' in the Gateway and enter a 'Common point' that you expect the slip will go through, ie. somewhere near the toe of the retaining wall.