"I walk the main road" is basically the same thing as "I walk on the main road."
Not really, it makes it a description of the walk, rather than of the place.
"I walk the main road" sounds more metaphorical to me, whereas "I walk on the main road" is actually talking about the road that I happen to be walking on (and is the obvious translation of the Hebrew).
I think that there is more use to the following form: "אני הולך בדרך הראשית" I walk on the main road.
So, the ב in בדרך can mean "in" and "on" ? Can it have other meanings too ?
It's not really meanings. It's just that when translating the use of a verb the preposition does not necessarily go with it. The target language might be using a different one for the same verb.
I used "along" rather than "on". DuoLingo, please expand your synonym database...