No, you're not doing anything wrong. Walk Designer doesn't include walk cycles for any of the animals. They can be added by inserting a 30-frame looping animation of the animal walking into the Walk Designer pose folder, but they can be fiddly to work with. I've managed to create a walk cycle for the cat (which is available from my Freestuff, with instructions on using it), and it's been done for the wolf (was that Little_Dragon did that?). I've tried to get the horse to walk but it's hooves go all over the place- I haven't managed to fix that yet.