Is it worth visiting the City Wall after dark in January considering weather and time in Xian?

Yes, it is still worth.
The scenery at night is also beautiful. The average temperature is around -2 to 6C during that time according to the previous records.
It will become dark at around 18:00 in winter for that city, so it is suggested to go there at that time. If you go late, the wall will be closed.