Yeah, it says so in the tutorial if you choose to follow it. But I was really surprised that it was pushing you to fast traveling straight away.You are expected to use the quick travel option to immediately go to the nearest city, NOT walk there in the wilderness!!
It makes sense given the size of the game world. They wanted players to realize early on that Daggerfall wasn't your typical open-world RPG. Walking from point A to point B is just a colossal waste of time.