It may depend on the speaker model. In general, if you're mounting cabinet speakers in bookcases and whatnot, you want to add sound insulation baffling around the speaker, to give it a tighter sound, avoiding any resonance. A correctly constructed wall speaker should give you the same thing -- insulation will improve the sound. You should probably make sure you do the same thing for all the in-wall speakers, though, else you'll have different characteristics from different channels. I e, insulate all, or none. (I'd go for the insulation, assuming the wall speakers have their own in-wall cabinet and reflex port)
Just make sure cooling is adequate, especially if they are high power speakers or internally amplified.
