There's nothing to link as there is no post title and the post contents are not included in the notification. So the notification was intentionally left as is. The group link is generalized in the notification API and has no idea where it's coming from so it can not link to a specific tab. You'd need to modify the notification and add the below usage for example if you want to link to the tab from the group link.
Code:
[user] has posted a reply on the wall in the group <a href="[cb:config param="live_site" /]/index.php?option=com_comprofiler&view=pluginclass&plugin=cbgroupjive&action=groups&func=show&id=[group_id]&tab=grouptabwall">[group_name]</a>!
Another option is to order the wall integration first before the other GJ integrations in CB > Plugin Management and its tab should always be first.