Your walls also have to be set to ContinuousCollisionDetection. Dynamic CCD is for moving objects and CCD is for any objects that they can collide with.

I just started with unity, and don't fully understand the question, but are you trying to stop the bullet or handle a bullet collision ?

I wanted to stop projectiles into a wall, so I added a box collider to my wall, then looked for projectile collisions using tags:

function OnCollisionEnter(collision : Collision) {
    if(collision.gameObject.tag == "projectile")
    {
        print("projectile hit at: " + collision.relativeVelocity.magnitude);
        Destroy(collision.rigidbody);
    }
    for (var contact : ContactPoint in collision.contacts) {
        Debug.DrawRay(contact.point, contact.normal, Color.white);
        print(contact.point);
    }
}

HTH