If radio waves are light then what allows them to go through our walls and reach our devices and not get reflected by the walls?

It is the wavelength. They bend over the corners. Therefore, you can receive them every where.

Everthing is created from light ,
Picture your standard modle of an atom with its various parts flying around it's nucleus. The distance between those particles and the nucleus is space and light travels through space. There are many notable substances that block radiation like lead and gold , but walls , not so much.