I think that the wall is what makes it an arena. Also, the idea of a completely empty system (deep space or rouge star) doesn't sound good to me because there'd be no reason for the Ancients to set up star-gates in empty space.
Avoiding the apparently insoluble problems with arena walls trumps making sense.
And the arena walls, being commonwealth constructed structures that are immune to all damage, are even worse fridge logic then a stargate that goes nowhere. Otherwise why aren't there fortifications made of arena walls all over the place?
Still, the arena walls are intended to confine the battle into a relatively small area, and avoid it becoming a battle of attrition as small, fast ships sweep in, blast slower-moving ships, and run off to let their shields regenerate. Just have the gate inside the wall.
On another note, could you give me a screenshot with minimap? I've got a game where I'm stuck in the arena at the moment with a sapphire flying around outside.