Forget the walls...
Water should be stopped at its point of entry. Because you suggest building "walls around the sump pump", then I assume that water is entering your basement at that point. It is the sump pump's job to remove water from the basement.
If the sump pump is able to remove water faster than it comes in, then it will keep the basement from flooding. I would focus my attention on that point.
Look all around, inside and out, and ask yourself: How can I slow the water entering my home? Can I build a ramp made of clay dirt against the outside of my house? Can I dig a shallow ditch which will allow water to move away from my house? Can I move the sump pump discharge farther from my home? Can I increase the size of the sump pump discharge line? Can I install a larger sump pump? Can I install a second sump pump which will turn on if the first pump cannot keep up? In summary: Can I slow the entry of water? Can I increase the exit of water?
If the water cannot be kept out, then reinstall your appliances on platforms. Do not build walls around them. Wall are as good at keeping water in as they are at keeping water out. Life is full of surprises, so I would not build walls around the appliances. Water can come from your furnace. Water can come from your A/C. Etc, etc.
I question walls around the sump pump too, because it is your drain in the event water does get into the basement -- no matter where it comes from. Your water heater, your washing machine, etc. are just as capable of flooding your basement. Same situation: Walls are as good at keeping water out as they are at keeping water in.
Platforms are good. Putting your furnace on a platform might the difficult, but platforms are good.