Actually you can walk through all kind of things with no effect.

I've walked through enemy cities, units, sovereigns and whatever.

The collision detection really needs some work.

(On the other hand you can attack somebody one tile away when you move in the position where he last was.)

Did you have a Non-aggression pact?

My most recent game the sovereign went on a walking tour of my property after I made a non-aggression pact with him.

Unfortunately when I attacked him he simply "poofed" without a combat and now I can't find him on the board. Can't confirm it as a bug though as the screen is already full of phantom units because of the units leaving from negative income.

I had no Non-Agression Pact. Later in that same game, I saw a Troll walking over one of my towns and doing it no harm. Wonder if it would have attacked any garrisoned troops?