When in doubt, look at the acceptable backer materials listed in the Kerdi Shower handbook. A concrete wall, unless it had hydrostatic pressure water problems from outside, should be fine - but, it would be colder unless you added some insulation there. As opposed to John Whipple, I see no good reason not to consider Kerdiboard on that wall if you wanted some insulation. If the wall isn't plumb or flat, you can treat the Kerdiboard like a huge tile and use the 'spot' method to set it using a long level to get it perfect. If it is flat and plumb, just comb some thinset and set it like a huge tile.
Generally, you want to do a bonded mortar bed on your concrete slab. At least a couple of ways to bond it: spread a slurry of Portland cement down, then cover with deck mud before it dries out, or put some thinset down, and do the same thing. Either will tie the mudbed to the slab. On a slab, I'd prefer to make the curb out of something like cement pavers or bricks, but over a subfloor, personally, I don't think it matters. If the wood there got wet, you'd have bigger problems.