Not sure, but I thought I had this bug previously.  I figured out that I actually had to casters who could cast cloud walk.  If I didn't choose one of them, then the spell would cast, and the hero I was selected on would start marching.

Hopefully that helps?   not at home, so I can't load your save

It could also be what happens when you cast the spell when your hero is in a city.

This is still broken in .983.  In the attached saved game, have Lord Relias try to use Cloud Walk.

http://www.mediafire.com/?i7ug06iu6j86i3d

The issue appears to be related to having the casting sovereign stationed in a city.  If I move Lord Relias out of the city first, it works.

Anecdotally, I once cast cloudwalk when my sovereign had no moves left, and he burned the mana but didn't go anywhere. I haven't been able to replicate it, though.

I have been experiencing this bug in 1.02.

And, I have been favoring games where mid/late game most combat (and all heavy combat) it performed just the one unit, so every time I forget to unstation my unit I get this bug.