Curious, did you train your skills up in the prologue, before you selected your rogue path?
I believe Klytos is on to something; I've tried my Brigand and Rogue characters for v1.1 (Humble version 1.1.2, to be precise).
After grinding my climbing up to 100 that first night, but before I return to my respective mentor with the beast's head (and other requirements), I can easily scale the wall on the screen west of Udo.
However, when playing a later saved game (I picked Day 8 saved games for both classes), I cannot scale the wall at night and receive the same message that you are getting ("You don't have the skill to climb"...)
From my Sorcerer saved games: on the first night when my Climbing Skill is 15, I can climb the west wall. After I have raised my climbing skill to 100, I cannot scale the wall -- even on that first night (!).
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To be honest, I never thought to climb there in any of my playthroughs. While it does appear to be a "bug," one which might have been caused between the demo version (which ends after the 1st night) and the finished game, it won't affect your gameplay or progress -- at least, it never did me in any of my various playthroughs for all three classes in version 1.0 or version 1.1. Just keep climbing over the town gate.
