I think its really just the trappings of game development being full of tribal knowledge.
The tutorial probably should have instructed you create box colliders for walls (giving a greater area for the physics engine to catch collisions) rather than a simple plane/quad which would lead to the exact issues you had, or at least explained why a box works better than a plane.
I guess you have to balance the necessary information with overload in your tutorial or at least have an aside or additional reading that really helps understand many of these internalized understandings.
That's not a bug just an inherent problem with using very thin colliders with a discrete collision detection system.
It's not a Unity problem and Unity allows you to configure continuous collision detection to prevent tunneling https://docs.unity3d.com/6000.3/Documentation/Manual/Continu...
Game development is full of domain knowledge like this because games need to make compromises ensure completing simulation updates at no lower than 30Hz.
For a while now Unity has an incremental garbage collector where you pay a small amount of time per frame instead of introducing large pauses every time the GC kicks in.
Even without the incremental GC it's manageable and it's just part of optimising the game. It depends on the game but you can often get down to 0 allocations per frame by making using of pooling and no alloc APIs in the engine.
You also have the tools to pause GC so if you're down to a low amount of allocation you can just disable the GC during latency sensitive gameplay and re-enable and collect on loading/pause or other blocking screens.
Obviously its more work than not having to deal with these issues but for game developers its probably a more familiar topic than working with the borrow checker and critically allows for quicker iteration and prototyping.
Finding the fun and time to market are top priority for games development.
The tutorial probably should have instructed you create box colliders for walls (giving a greater area for the physics engine to catch collisions) rather than a simple plane/quad which would lead to the exact issues you had, or at least explained why a box works better than a plane.
I guess you have to balance the necessary information with overload in your tutorial or at least have an aside or additional reading that really helps understand many of these internalized understandings.