I'm kind of confused on the Mirror Wall trap effect. Does it constantly check the attacking figure once applied? If so, what happens when that's KO'd?
If not, do I have to write notes on what it became on hit?

You use whatever combat values (including replacements and modifiers) and standard powers the chosen character currently have.

If the chosen character is KO'd before the trap's effect ends it there wouldn't be any replacements. As the KO'd character is removed from the map so the "Mirror Wall"-effect cannot reach it. And even if "Mirror Wall" could do that there would be no values to replace with.

You check combat vlaues only when required to do so in standard Heroclix. As for the rest, dunno, I don't play the Yugioh Scenario (which is the only place where traps/spells are legal).