Step 1: Understanding the Concept
Follicles develop in stages: primordial, primary, secondary and tertiary.
Step 2: Check the statements
Primordial follicles arise from egg nests in the foetal ovary, which is correct.
The primordial germ cells that give immature ova arise in the endoderm of the yolk sac, which is taken as correct.
Large scale loss of follicles is called atresia, which is correct.
Step 3: Find the wrong one
A primary follicle has only a single layer of follicular cells. The wall becomes multi-layered later, so the first statement is incorrect.
Final Answer:
The statement that a primary follicle has a multi-layered wall is incorrect.
\[ \boxed{\text{(A) }\text{Primary follicle has multi-layered wall of follicular cells.}} \]