The screenshots make me thing the legs aren't connected to the body. In Rig mode, are they inside the body group? Is the origin handle (dotted line circle) attached to artwork that turns green? Is the attach style on the right when you select a leg set to weld or hinge, not free? And do you only have one Walk behavior, at the top level? I would check out some of the example walk characters like Eliza on okaysamurai.com/puppets and make sure you're set up similarly.