I love my sidewalls and have already benefitted from having them, but at my last show, I found them to be getting in the way more than they were helping. This was particularly because in the beginning I set my tent up in the wrong direction (aghh!) so discovered my "front" had to be opened in a different direction than I had planned. I ended up taking down all but one wall (to have some version of privacy for personal items).
The day was not "that" windy, but there was a steady breeze in the afternoon, and I began to wonder if it was better or worse to have walls in such conditions. My jewelry displays were having a kind of hard time in the breeze - I had more than one get knocked down, even after I had taped down everything in sight. But there were also times when it was clear that letting the air go through was much better than blocking it off.
I read in a different thread on this site that sidewalls can really make your tent act like a kite in truly windy conditions - so would like to hear some different ideas on this. I have the Impact Canopy (if it helps to know that), and it's not easy to just throw the sidewalls up or down in a hurry.
I have even seen vendors using the 4th wall, aka, "door" and have been curious about this too - usu. I see them tie back the sides for business, but it still seems like they would really be in the way. I have always left my 4th wall completely off. (I do also have a little awning though, which is really nice, that is, if I'm not stuck under a short tree.)