I haven't heard of horses becoming dependent on a round pen wall, but I can sure imagine how that might happen. Besides, I dont' encounter so many horses, so I will certainly take Cherie's word for it.
To avoid that, do a different kind of work in the round pen. You don't want to just have him mindlessly going around. you would be able to do things in there like having him learn to follow the line, disengage the hindquarter, the forequarter (all things that don't require a round pen) work on getting him to follow you and learn to follow your body language better (actually, you are learning to lead better). YOu can work on using body language to get up and down transitions, to turn your horse and to draw your horse. All of these things build on getting your horse to focus on you as the leader and you to focus on commiunitcating accurately to him.
If you have never done it before, then either get someone to show you are start looking at some videos. Doesn't really matter if you do it "wrong". Look at it like "play". Is play wrong?