The current wording reads "/Wall - Also warns on files included from the standard library, so it's not very useful and creates too many extra warnings." – this reason does not seem to hold, because /external (i.e. /external:anglebrackets) exists and is effective in preventing /Wall warnings in the standard headers too.
A better reason to avoid /Wall would be a large number of informational diagnostics (i.e. https://docs.microsoft.com/en-us/cpp/error-messages/compiler-warnings/compiler-warning-level-1-c4711?view=msvc-170) - but then again, these can be disabled individually.