1) is your house a gated/guarded community?
2) does everyone signed a Deed of Mutual Covenants for the property, if so, go through it and see if there are specifications for extensions/constructions/renovations and determine if your neighbor has breached them; and
3) what agreement did you sign and what exactly are the contents, it is imperative to ascertain what kind of consent you are giving to them.

Generally, you can complain to the local municipal council but if your house is located within a guarded/gated community which has its own management corporation, these municipal councils won't get their hands dirty. So, you have 2 options:-

a) to go your neighbor and have the matter settled amicably; or
b) go straight to your management corporation and complain about the wall BUT risk having the goodwill basis relationship ruined because if your neighbor knows you went to the management and complain about them, it's going to piss them.

Good luck!

That letter in which you have signed for the Majlis is the consent letter your neighbors needed to get their application approved. So, technically speaking, you cannot revoke your consent after the thing purported to be done has been completed.

Since there is no Deed of Mutual Covenants signed then basically, the only avenue that you have against your neighbor is through a civil suit and it is not true that your neighbors told you that "you have no right" everyone has civil liberty rights. It's an inherent right and cannot be taken away.

The only way I can see if you can dispute is by raising the fact that when your neighbor passed the forms to you, they misrepresented to you or they had the intention to mislead you, inducing you to sign the approval letter. Did they or did they not pass you the specification of the wall that was to be built at that material time of signing?

Whatever it is, like I said, if they are being adamant in negotiating and trying to play hard ball, you can play hard ball too. Seek a legal counsel's advise and issue to them a letter of demand.