Embedded Walls

Walls can be embedded into other walls using the Cut Geometry command. Overlap two walls of different types... Select the Cut Geometery Tool... and click on the two walls (host wall first).

This behavior may be automatic for some curtain walls (like the storefront curtain wall). Go to the Type Properties of a Curtain Wall and you'll notice a parameter called Automatically Embed. This might be one way to model a niche.