I figured out how it works.
I will summarize here my findings should someone face the same issue.
Here's how the SetUID bit looks like:
(4000) --s --- ---
Here's how the SetGID bit looks like:
(2000) --- --s ---
Here's how the Sticky bit looks like:
(1000) --- --- --t
This means that the tool in my example (/usr/bin/wall) has got the SetGID bit set.
Actually, BladeLogic marks it as non-compliant if the rule looks like:
"File:/usr/bin/wall"."Permissions (Unix) (Unix)" has no flags "SetGID"