In the past, having multiple instances of a Linked RVT was quite problematic if you wanted to apply different materials to each instance. Parts have mostly solved that problem (thanks to Steve for reminding us).
Here is a quick how-to:
Place a Wall with multiple layers into one RVT file
Link that into another RVT (the host)
Make 3 copies of the linked RVT in the host project
Tab select a Wall that resides in one of the links while working in the host file
Click Divide Parts
Select one layer of the wall (the Part)
In Properties Palette, untick Material by Original
Set Material as desired using Properties
Rinse and repeat steps 4 to 9 for each layer / material option you want to explore
