The journey on the train is beautiful and easy, filled with new sights and food to eat while you can sleep without worry. Considering that the train was the fastest method to leave the cold of the north, it should have been the optimal choice. Why would they choose the path of least interest?
The group was built up of true members of the Church of Jester. They wished to see the scenery while they journeyed across the plains at a much slower pace than the one they might experience on the train.
Of course, their main reason was something much simpler.
Remira is that very reason.
Through most of his life in this world, Jester had been hunted by various churches who noticed his existence, but while others would lose interest or be fooled by him after a long while, the Radiant Hall, being the very first, never abandoned his hunt.