Box speakers are designed to have some space around them. Sound radiates in a spherical pattern until you get into the high frequencies. The front area of the speaker is designed in many cases to complement this and to avoid diffraction/cancellations.
When you build this type of speaker into a wall, you are in fact now using the ENTIRE wall as the front baffle and incurring a LOT of early reflections, cancellations, and will likely not only mess up the imaging but also significantly change the tonal 'voice' of the speaker. Also, if the space you put them in is not an EXACT fit, you'll get ringing from the enclosure, and a more hollow sound. Lastly, you'll have absolutely zero in the way of imaging depth unless you severely treat the wall surface and know exactly what the radiating pattern is, how it reacts in terms of SBIR, etc.
Speakers DESIGNED to be put into a wall are voiced and designed to compensate for the wall.