The logic of first visiting the tzaddik is so that he can daven for you and be melamed zchus for you so that your tefilos at the kosel will be later accepted.
This logic is found in Sh”T Dvoray Emes s. 13, that one should first go to keveri tzaddikimbefore visiting kever of his parents because the tzaddikim will add zchusim to him in Gan Eden HaElyon, so that when he later visits his parent’s kever, he comes in a holier state.
The Sh”T Mishne Sochir (Y.D. 2, s. 238) writes the contrary, that one should first visit his father’s kever before his rebbe’s kever because by bakoshos of rachamim, the father has greater rachamim on his son then the rebbe.
This logic may apply too, that visiting the rebbe for bakoshas rachamim on his chosid/student may preceed before visiting the kosel for bakoshas rachamim.
(After considering the fact that HKBH is our Father (“bni b’chori Yisroel”), and a Rebbe is also a father to his student/chassid – still the wordly connection of a Rebbe-student is more apparent)