Why don't the Democrats make a deal to give Trump his border wall in
exchange for campaign finance reform?
As a neutral observer having no association or affiliation with either the Republican or Democratic parties based in the United States, an objective analysis would be that the two subject-matters are only loosely related.
If one were to view the question from a Democratic perspective, there is no rational reason to conclude that a "border wall" will have any impact on "border security". A wall is stationary. Human beings have the ability to
It could be rationally concluded that the Democratic Party establishment have determined that a "border wall" is a complete waste of taxpayer resources (see @Ella's answer) and will be ineffective for, but not limited to, the short list noted above. Am not certain how or why the idea of a "border wall" was conceived and has any traction at all as a solution to "border security".
A "border wall" will not preserve a "white" majority in the United States, which the concept of a "border wall" attempts to subliminally project by means of fear and xenophobia in the propaganda that the "heartland" of the United States consumes; the projected demographics for the U.S. population in 2050 has already been published by the United States Census Bureau; a "border wall" will not change that projection.
It is not clear why the question makes the assumption that "campaign finance reform" is currently a priority on the agenda of the Democratic Party of the United States; specifically, any more of a priority politically than the subject-matter is to the Republican Party of the United States. Both Democrats and Republicans like money.
From a Republican Party perspective, it could be that the party leadership does not have a sense that a "deal" is necessary; that is, if the propaganda of "border security" persists in popular media, the party leadership could have the position that eventually the tone of fear posited into the minds of people who consume such rhetoric will become established in the hearts and minds of a particular segment of the populace to the degree that there will be no need to make a "deal"; people in the "heartland" of the United States will endorse the notion of a "border wall" being necessary and theoretically effective simply because it is a wall (similar to keeping livestock in an area and wolves out of that area) and thus will thwart some "smuggling" (of various kinds) and decrease the migration of people from wherever they are to the United States, whether by way of official documentation or not.
The notion that a wall will somehow stop individuals going to and fro is perhaps alive in individuals who have not ever hopped a fence, cut through a fence or wall, tunneled underneath a fence or wall, or paid U.S. dollars to an official to simply open the fence or wall, or look the other way while hopping, tunneling underneath or flying over a fence or wall is occurring (tons of cargo were flown to Arkansas and other states during the Clinton years as Governor and Iran-Contra years).
While "campaign finance reform" is not necessarily associated with "bribery" in ordinary political parlance, the implication is that politicians are bought and sold by means of "campaign finance". Bribery of officials - of any political "party" - is an age-old practice, and there is no particular reason or data to support any notions that individuals who claim to be a member of the Democratic Party of the United States are any less prone to be susceptible to bribery than individuals who claim to be a member of the Republican Party of the United States.
The individuals who migrate to the United States - with or without "documentation" or becoming "documented" are far more motivated to overcome any physical barrier than the U.S. is to prevent such migration, as a substantial portion of those migrants, whether "documented" or not - are now an integral part of the U.S. economy (officially and unofficially); from farm work to cooking food in "American" restaurants to construction to every other industry and sectors within every industry; perhaps save for the military industrial complex, which is a monopoly of centralized interests.
Both Democratic Party and Republican Party accept contributions ("bribes") to run their political machines (including bribes from "undocumented" migrants). Humans migrate to geographic regions where their prospects are deemed to be "better" than where they are, in spite of any physical, social, cultural or other obstacles. As an example, European powers (and their peasant populations) were far more motivated to conquer what they considered to be the "New World" and leave what they considered to be the "Old World" than the native inhabitants were to keep those European powers from conquering their sovereign lands or escaping the feudal conflicts, corruption and despotism of Europe proper. Where bribery (alcohol; weapons to fight local adversaries; etc.) did not work to co-opt those existing nations in the "New World", raw military might was used (e.g., the National Guard deployment to the U.S.-Mexico border). The same holds true in this instance of political history.
The United States is the "New World" for migrants traveling to the United States from Central and South America (and every other geographic region in the world); like those Europeans who fled from Europe over the span of 300 years to displace the native populations in what is now the United States; the current migrants will use whatever means necessary to reach the United States of America; some might even be versed enough in their own history to be fully aware of the fact that the United States of Mexico existed not that many generations ago, and have re-established such already, even if informally.
Therefore, there is no "deal" to be made.