When you are in the Apartment World, you can see the outside of the Room 302. There are tiles and the wall. It is clean and untouched by the effects of the Otherworld (maggots, blood, etc). Somebody knows the answer?

Because Room 302 is the most precious thing in the world to Walter, and isn't considered part of the corrupt, wicked, diseased real world that he hated so much.

Hmm.. That makes sense. Thanks. So, Henry is the part of Room 302, so he is not supposed to go out into the corrupt world, that is the meaning of the chains and
the message of Walter "don't go out".

Throughout the game, I noticed symbolisms of birthing.

Room 302 = Womb, hole in the bathroom = Birth into that Corrupt World.

Henry = Walter

I don't say that Henry and Walter is the same person, but Walter wants Henry become Wisdom, a man who knows Him, understands Him and become Him.

No, Walter was leaving a message to himself. He needs Henry to leave so he can become the Receiver of Wisdom and die.