Sky-walking was much slower than traveling on land for many reasons. The human body was anatomically evolved to travel on land, this fundamentally meant that they would travel through land faster than through any other means or medium.
This remained true even for Martial Squires even if their Martial bodies were evolved past humanity. Most Martial Squires retained the basic anatomy of human beings. The shape of the body, the number of limbs, bones, muscles, and the locations of these body parts maintained at least a resemblance with baseline human beings.
This meant that most Martial Squires also inherited humanity's inclination towards travel through land via their legs.
It couldn't be helped, every Martial Squire was once an ordinary human. Their entire Martial Art in the Apprentice Realm was centered around the human being that they were anatomically, then their Martial Body in the Squire Realm was optimized to cater to their Martial Art and their Martial Path.