Man...junior high schoolgirls, acting like little kids...Well, there are a number of highly desirable "cat things" in that room, and it's always been part of their territory, so I understand why they'd be attracted to it. Cats aren't going to just shrug their shoulders and figure "welp, that's the puppy's room now", they're more like "WHAT IS THAT PUPPY DOING IN MY ROOM I'M GOING IN ANYWAY NOW HE'S BUGGING ME MOOOOOOOOOMMMMMMMMMMM." And of course cats are cats... some of them crave stirring up drama as much as a pack of junior high school girls and what is more dramatic than getting each other, the puppy, and you involved in this big old game every time you want some peace and quiet.
Wally's already an overdramatic diva dog - I'm glad I don't have cats! Granted, when I stayed with a neighbor who had two cats, Wally growled at one initially, but then was like "meh" whatever - and he usually wants to chase cats! I guess the "I'm in a house" context overrode, "CAT! CHASE NAO GO GO LEGS!"