Theoretically, that option skips the MRU entries created by the programs, for example, the list of the most recent archives created by WinRAR. My guess is that PowerTools' Registry Cleaner is programmed to find certain string patterns like "Recent" or "Last". But I'm only a mere user, so my guess could go wrong :
Anyway, the ".wal" extension doesn't seem to be associated with that kind of MRU entries. Maybe you have some compression utility installed that has associated this extension, and it has an option to automatically re-register the file type if this one is deleted or "stealed" by other program. Coming to mind, I think TugZip has something like that. If you don't have any program like that, I really don't know. Is there someone with another clue?