Walking is to maintain a distance that is advantageous for your character. You walk back and forth to try and trick your opponent into whiffing attacks or if you're playing a character with more range on your normals you try to stay at the distance where your normals have priority.
Dashing is just a quicker way to get in and can be cancelled with block so the idea is to use both of these together to advance while stopping projectiles as you close distance.