A keep itself is just the central castle unit. Surrounding the keep with walls is expensive, a first wall surrounding, say, the middle-priced keep (which costs 30,000 gil) will cost 1/4 the price you paid for the keep (in this case 7,500).

Chaos is the Key is correct on how tax rates work.

Show me where you want to make the wall and I'll be able to give you a price for it. Soon, the other coordinators will be able to do this too, but I have to teach them how to do their job first.