if you google image Roman Bricks then you can see they're very thin, like this, furthermore the bricks seem to have a strange shine to them, modern bricks are slightly shiny because the surface is somewhat smooth, the bricks you've made are rough and grainy so they wouldn't be shiny at all
Too bad the lighting inside the Colosseum is a bit dark at the moment. Otherwise, the wall looks good, don't really like the transition from brick to ledge though.
You are right about the walls, most walls in the colosseum look like the picture you posted. However there are also some walls made out of bigger bricks (example). We aren't aiming for a realistic result so that's also why I have the shine on the wall, in UDK the shine isn't as strong as in this picture though.