A sprite is defined only by its external edges, what is inside (picture) is irrelevant.
If you have your maze one large sprite that covers everything, it is still a sprite, but the collision zones are only the extreme top, bottom, left and right edges. If the other sprite is already inside, it is not touching the edges, so there is no collision.
You could even have completely invisible sprites if you wanted (by making them the same colour as the background), the edges would still be there so collision could be detected (that, in itself, could be useful for some games).
And it DOES make sense. Suppose that the wall had a texture, instead of being a uniform colour, it is like a brick wall. Now, the system would have to detect if you are touching the red brick part of the image, or the grey ‘mortar’ part of the image. That would quickly go out of hand, particularly if your sprite had bits of it that would be the same colour as the red brick. Would it then fail to detect collision owing to the fact there isn’t a colour change between the mobile sprite and the fixed obstacle sprite?
A smartphone screen typically has one million pixel resolution, and each pixel can have any of 16 million different colours. Can you imagine how much processing would have to take place if collision was based on colour chage? You would only get 10 frames per minute!
Instead, each sprite is defined by its edges. If the edges X,Y coordinates of one sprite (a few hundred pixels only) happen to be the same as one of the X,Y coordinates of the edge of another sprite (again, only a few hundred points to check) then there is a collision.
And if the system is very smart, it checks first to see if any X coordinates happen to match, that way it can completely avoid checking the Y for a mach, thus saving computing power for the processing of the rest of the game.
That said, there is value in having each wall a different sprite, because colliding with different wall can have different effect. You can make colliding with one wall return you to the start. Or you can make colliding with a different wall “stick” for a while, making you lose time in a beat the clock maze run.
It could make colliding with a special end wall bring a “you won!” banner that would load stage 2.
If all the walls could never be any different from another, then all you could ever do is a maze. Now, you can make some other sprites work like walls that simply remove the motion in X but keep it going in Y; or ones that reverse the direction, turning them into bumpers that bounce back; you can make some of the sprites mobile, reacting to a button press, and you just got yourself a pinball game!