Any display that is not your laptop's screen is a candidate. With one attached it is chosen by itself; with several, the largest wins, and the dropdown at the top left overrides it. The green dot means a projector is connected.
Plugging in, unplugging, or a resolution change mid-show are all followed: the wall moves with the display. If no projector is attached, the wall becomes a labelled window on your laptop and migrates the moment you plug one in.
While the app is running, the display is kept from sleeping.
For a wall the other way up, or two walls from one Mac, see the roadmap: both are placed, neither is built.