AFAIK magic sites that give buildings don't say so on the magic site description... although I've been away from doms for a few weeks so it might be my memory being faulty.
Off the top of my head this is the only magic site effect that doesn't get mentioned.
When you find it you should find a new fortress 'The Jervellan Wall' in your province. I'm not sure what happens if you already had a fortress - maybe nothing.
There are a fair few sites that do this. There's a common underwater nature site that gives a fortress and the earth site Firbolg Fortress was quite common in Dom2, although I haven't had it in the dom3 demo yet. There's a bunch of rarer ones too.
If you locate the Jervellen Wall while you are in the process of building a fortress in a province (as well as if you have a fortress already constructed), it won't have any effect.