Maybe someone has a trick for this, and if they do I'd love to hear it too. But as soon as you open up even one grid space gap in a wall, suddenly the two rooms it separated become one. This suddenly matters now, because lights use power, and the game greatly exaggerates how much power a light uses.
Yeah, the power consumption of lights is silly. They're all at 10 with no regard whatsoever to what type of light they are (and thus their actual power efficiency). Not the only problem with the system, though - for example, flatscreen TVs (or PC with flat screen) in TS4 have a higher power consumption than the CRT counterparts - which makes no sense whatsoever.
The secondary issue is that pets trigger auto-lights, which I think shouldn't be the case.
Now, back to the walls issue: If you build two rooms, click one, and click 'remove wall', will the game snap them together right away, or will they stay separate rooms?