Hmm, regardless of whether Tiled could support this feature, which indeed it currently doesn’t, I heavily doubt this problem will actually occur. Did you already run into it or is it just a theory that it might happen?
If you’re placing your wall parts as tile objects and they all have the same Y position, then the only way it could happen that some are in front and some are behind the player is if the player also has the exact same Y position. In this case, the drawing order isn’t well defined. Normally, the player can’t walk into the wall, so the situation that it shares its Y position with the wall while also touching it is usually avoided.
Alternatively, you could place your wall on a tile layer rather than an object layer. If the wall is made up of parts this usually works quite well. In Tiled, tiles can extend beyond the tile grid so even higher walls can be done this way. And in this case, you only need to compare the Y position of the entire row of tiles against the player’s position, in order to know what to draw first.