yes, the small nuances. Megy would not be my first choice to translate He is walking.
Sétál or Gyalogol would come to my mind first. Megy a munkás would rather be The worker is going.
The best (most neutral) translation of "walk" seems to be "gyalog megy" ("go by foot"). If I understand correctly, "sétál" refers to a leisurely walk ("stroll"), while gyalogol seems to refer to a more strenuous walk ("hike").
This doesn't have anything to do with this particular exercise, but if there is an adjective, does the definite article change according to the first letter of the adjective or the noun?
The definite article changes in accordance to the word that comes right after it. So you can have "a munkas" becoming "az alacsony munkás" becoming "a furcsa alacsony munkás". It's very similar to the "a/an" situation in English.