I mean it’s really cool and all bou I wouldn’t like to be that lonely guy on his way to taking the wall solo.
Bravery in battle could get you military awards and bonuses - or even better, promoted. Under the Imperial Roman military, a legionary made about as much as a well-paid-but-unskilled urban laborer did per year. A centurion made 16x that. And centurions were promoted from the ranks - primarily for bravery, skill, and good conduct. See where this going?
Someone tells me that hopping up and soloing a bunch of barbarians for a minute or two until backup climbs up the testudo after me could net 16x pay (and 16x the retirement bonus, and 16x the share of the plunder) for the next ~20 years of my career, you bet your ass I'd at least consider it!