Likely cause: You have switched from Set Workshop View to Director’s View.
Solution: The walls of your set will be displayed in full in the Set Workshop View. When you switch to the Director’s View, however, Moviestorm will hide the walls of the set to make it easier for you to direct the on-set action. Don’t worry – the walls are still there, and will show up in camerashots (and, therefore, in your final movie).