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No, that's not quite right. Remember, even in the description of either the Kirin or the Sacred Kirin, it says that you can jump off a high mountain at your own risk, and the Kirin will catch you if you're lucky. They definitely can fly. In the game itself, there should have been an option for walking when there are no obstacles in the way. If you need to fly over something, like a city wall, there should be an option to fly, but without the trailing misty effect.