I recently shot a Bolt of Mass Destruction into a monster zoo (where else?), and in addition to all of the fire and blood everywhere, the walls next to the door disappeared (and monsters started walking through the gaps). Is this normal behavior for these bolts or is this some sort of weird bug?
I assume you mean a Bolt of Mass Destruction?
In which case, in my experience yes, they do destroy walls - first time I ever found the bolt I got a pair and tried one out a short time later to see what they did, I completely took out one end of the "archery practice" shaped room I was in (although, not the targets on the walls, so they clearly don't destroy everything).