Is the light blue portion of the wall in your picture actually a separate wall?
If so, the door is obviously placed into the darker wall, and is fitting the width of that wall correctly. If you want the door to cut BOTH walls, they have to be joined. Then the door knows to cut both.
If I've guessed correctly above, then that means you've manually cut an opening through the blue wall and trimmed it out? If so, you'll want to undue those modifications prior to joining the two walls.
If that is NOT the case, then my next guess involves the jamb extrusions in the door family not being aligned/locked to the inner face of the sample wall.