Hadrian's Wall was more of a fence, where Rome would stay on their side and the Pictish barbarians can stay on the other. I don't think any Great Wall would have an appreciable impact on European history overall. The German barbarians would simply cross the rivers like they did in reality. The North-South flow of rivers in northern Europe makes building a wall of Rome a little more difficult than the Qin's wall, which mostly linked prexisting walls. Oh, and let's not forget that nomads sometimes entered China by bribing the guards, and that the wall did not keep out roaming hordes in China.