Bernard and Joan didn't know 'Hey You'?... Clever joke
Meaning that maybe Bernard considers 'The Wall' a 'lesser work' compared to other Pink Floyd albums and so he gave it no notice whatsoever. It's unrealistic that he wouldn't know that is a Pink Floyd song but it's really funny when exaggerated like this (if this is the joke).
As for Joan, maybe she didn't say something because Walt's a dick to her and she might've wanted him to be embarrassed... And how was Walt even dense enough to think something like that world work in the first place? I'm sure there's probably more to it all that I'm not getting.