It depends. I'm not saying that to be mean or confusing, it just does. Part of the issue is that your Run Away from multiple Monsters separately, not all at once, so you could play a card which affects things further down the line, but not necessarily to revert what just happened.
So, some examples:
- First and foremost is the example you've given: You can't play Instant Wall to avoid the Monster that just caught you, but you could play it to avoid other Monsters you have yet to Run Away from.
- Loaded Die and Reloaded Die, of course, can be played because that is their main purpose: To change the result of a die roll.
- Magic Lamp can be played (but only on your turn, as the card says) after failing to Run Away from a Monster because it says so.
The main point is that you can't undo a failed Run Away roll easily since it must be done by a card which specifically changes the roll or says it can undo a bad roll.