The wall clipping only happens in a handful of spots, where the seams of the screens don't line up. So when you screen transition you spawn within a tile and can fly thru it. You can see where I do it, the bottom screen is 2 tiles wide and the top screen is 4 tiles wide, so I can spawn in there and go.
Yeees, I encountered that issue when making the game. Some screens just don't quite align perfectly so there are ways to clip into walls with the transitions. However.... there were times when I'd clip even without screen transition by colliding with 2 surfaces on the same frame. I may have fixed that issue but due to difficulty of testing such edge-cases I can't be 100% sure it won't happen. The worry is that if it were to happen, the player could fly outside the intended memory area for level information. I believe this will crash the console and I worry it could potentially maybe possibly damage the console? But maybe I shouldn't worry too much since other games have similar unintended behaviors and I'm not aware of anyone's NES getting bricked from a game glitch.