You can make a guess and try to go through it.
This would count as interacting with it IMO, giving you a save. If you fail the save and the illusion has a tactile component, then you feel like you hit the wall and stop. It wouldn't be like a hologram immediately revealing itself (unless it lacked a tactile component, in which case you'd feel nothing and know).
At some point, your friend who saved may have to just push you through. :)
Did you mean you ID the spell w/ the Recall Knowledge check?
That'd be worth another save IMO. But if you failed, I'd say your PC thinks they messed up on their Recall Knowledge check.
"My error. It's real."
(In fact, when a PC messes up the check, telling them it's an illusion would be a great reply. They'd keep pushing on that actual Wall of Stone or ignore the summoned enemy. "T'ain't real, guys. Ouch!")
Yes, it's up to the GM, but there should be a lot of saves if your PC gets mixed information, a.k.a. solid evidence that contradicts the sensations they also know to be real...in a world where illusions are a thing.
Those contradictions would lead to investigation i.e. Seeking or Interacting, both of which lead to more saves. Of course, those are actions which you're spending and there'd come a point where your PC just has to accept that it's real for themself and they don't understand why others say differently. As in, the others must be the ones fooled.
Just make sure to differentiate player knowledge from PC knowledge. A PC that fails its save KNOWS that an illusion is real. Examples of just walking through an illusory wall (or otherwise accepting an illusion's an illusion) often represent having saved.
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If you fail to disbelieve an illusions, but you know an illusion spell was cast, you would know it's an illusion but not see though it. There's more rules about disbelieving illusions here.
Example: An enemy cast a 2nd level Illusory Object to create a wall. You have Illusory Object in your repertoire, so you automatically know that the spell was cast, but you don't necessarily know what was made. If you see the wall materialize, you can logically assume that wall that just appeared is an illusion.
You then Seek the wall, and fail the check. It looks real enough, you can't see through it and it even feels like a wall, but you know it's an illusion since you know that spell was cast right when the wall appeared. You then decide to Stride through the wall on your next action, which succeeds since it actually was an illusion. You can now see everything on the other side of the wall, including the enemy who cast the spell.