The goal of gathering physical evidence as a detective is to have the best possible chance of understanding what happened at a particular crime scene. In this instance, Batman gathers the entire chunk of wall because he believes it will be the best chance to acquire information from the bullet embedded in the wall.
Ballistic Technology Advances
Despite what you may have heard, it IS possible for modern science to get fingerprints from fired bullets. An article in the Guardian in 2008 [formerly published in the Journal of Forensic Sciences] discusses the technology required to get fingerprints from bullets that were previously unable to be acquired.
Scientists have developed a technique for retrieving fingerprints from bullet casings and bomb fragments after they have been fired or detonated. The new method, which relies on subtle corrosion of metal surfaces is already being applied for the first time anywhere in the world by two British police forces.
The patterns of corrosion remain even after the surface has been cleaned, heated to 600C or even painted over. This means that traces of fingerprints stay on the metal long after the residue from a person's finger has gone. The Guardian, United Kingdom, June, 2008 - Fingerprints recovered from fired bullet casings
Granted it is a recent development but if we give Batman the benefit of the doubt for the use of bleeding-edge technology, we should assume he would be able to do this too.
Here is an example of how a print might be placed on the fired round, not just on the case. Note the placement of the fingers:
He [Dr. James Bond] has published details of the technique in the latest issue of the Journal of Forensic Sciences. In his paper he demonstrates that it is possible to recover fingerprints from a bullet casing ejected when a pistol is fired. "As you are pushing the magazine in you are actually putting a thumb print on the bullet," said Bond. "That's the person you want. That's the guy who loaded the gun."
Forensic ballistics involves analysis of bullets and bullet impacts to determine information of use to a court or other part of a legal system. Separately from ballistics information, firearm and tool mark examinations ("ballistic fingerprinting") involve analysing firearm, ammunition, and tool mark evidence in order to establish whether a certain firearm or tool was used in the commission of a crime. We don't know if he gathered any casings (or whether any were left behind) from the scene either.
Since we know caseless ammunition exists, Batman may have simply decided it was easier to take everything ensuring any fragments, because bullets sometimes shatter and are usually deformed once they hit something, are going to be close together, giving him the best chance of acquiring, in this case, a fingerprint.