I heard this lady got 10th dan but upon investigating it was from the American Judo association not the Japanese one.It depends on the art! For some it's a unique rank for the grandmaster; for others, no. Ninjutsu and judo have super-ranks above 10th (with caveats--e.g., in judo you have to be dead first).
It depends from one style to another, of course.
I doubt that they could walk through walls, but if someone were appointed a 15th Dan by Hatsumi sensei, for example, I would feel quite comfortable in saying that they must be pretty darn good.