You said your wife was "never checked". I was clarifying that *nobody* leaving the US on foot is checked. To ensure that readers here don't think your wife's experience was unique.
There is no mechanism for foreigners leaving the US by land to register with Immigration, so overstay is common. But to get a "shopping visa" is not easy, and you have to prove you have money.
Also, there are checkpoints north of the border that someone with a shopping visa has to pass, and if they are caught straying too far from the border, they lose their visa.
From the linked article: "In FY23, CBP recorded more than 2.4 million encounters at the Southwest border and more than 3.2 million encounters nationwide." Encounters are the number of illegals caught by Border Patrol.