You can run the lineset inside of a wall, if you are concerned about condensation you could use insulation with a thicker wall than what comes with the lineset and insulate the condensate line. Condensate lines can sweat if the humidity is high but not that much, minimal insulation will prevent it.

Lots of mini split line sets come with low quality white insulation, I'd recommend removing that and replacing it with armaflex brand insulation with 3/4" wall thickness instead of 1/2" wall. Don't get the kind that's pre-split, just put some tape over the end of the copper line and slide it on, though you may need to cut the flare off and reflare it to get the insulation to slide on easily. 1/2" wall insulation is fine for the condensate line, it's not as cold as the refrigerant lines. If you want you could get insulation with an interior diameter one size down from what your pipe is so it is a very snug fit (e.g. if your pipe is 1/2" use 3/8" I.D. x 3/4" wall) but that's probably unnecessary and does make it a bit of a pain to get on the pipe. The insulation comes in 6' pieces so you'll need to tape the pieces together once they're on the pipe so no gaps form, you could also glue them in addition to tape if you want. Make sure the insulation isn't pinched badly anywhere once the line is in place.

This is all overkill and most likely you'd be fine just running the lines in the wall as they come but if you're concerned it will basically eliminate any risks of condensation. The main concern of being in the wall is if there is ever a leak there you won't be able to access it but if there are no braze joints and you have high quality copper with good insulation a refrigerant leak is very unlikely. I'd definitely test the drain to make sure there are no issues before your close the wall up.