Even if Trump actually, really truly wanted his "wall" or fence or slats or whatever (which he doesn't, because after three years he'd have plans ready for it), McConnell and most Republicans in the Senate don't want it. And this would not only allow an "angry" Trump to satisfy his base and show he stood tough, did all he could, and it's not his fault, but guarantee that the wall would still be a Senate matter for negotiation.
Republicans would be able to show the general public that they didn't want to keep the government closed -- and any far-right GOP senators for deeply conservative states who wanted to vote "No" and not override the Trump veto could do so. Only two-thirds of the Senate is needed to override. And since there are 47 Democratic votes, just 20 of the 53 Republicans from moderate or light-Red states would have to vote "Yes" to override. A full 33 deeply conservative Republicans could still vote "No," if they wanted.
And all the Democrats could show they're a united party for opening the government again.