I would love something like this, and I can imagine a few different ways it could function...
One would be to simply click twice in the same spot to place a pillar instead of a wall. This might not help much with adding roofs afterwards, though, since roofs don't play nicely with freestanding walls.
The second would be to have an option in the wall materials that's just empty space, so you draw the walls as usual but nothing actually appears between the pillars (except for an outline that's only visible when the build screen is open). Then you can just change the material if you decide you want a wall there after all. Perhaps there could be one option that's just empty space, and another that adds a roof beam along the upper edge but is otherwise empty.
The third would be an option to draw slabs vertically as well as horizontally. Maybe this could be done with some kind of toggle or by holding down a certain key while dragging the slab up. Again, this wouldn't help with adding roofs, but it would be useful for more than just making pillars.
I wonder if the roof problem might be better solved in a different way...perhaps by clicking to designate the corners or clicking the starting corner and dragging it out to where you want it.