I feel like it should as well, although spazieren seems to have the slightly more specific meaning of to walk for a walks sake, rather than to generically walk. as a native English speaker, I would probably not make the distinction except to accommodate certain stylistic speech. otherwise I easily could equate "when are you going walking" and "when are you going for a walk." Slightly different ideas in German I guess.
But what if your saying it out loud? Will they just have to guess?
Fortunately, in a real-life conversation, we usually have context.
Personal pronouns such as sie "they" refer back to someone you've talked about previously. So if you're just been discussing a group of people, it's likely that a /zi:/ that you hear will be sie "they", while if you've been talking about each other, it's likely that it's Sie "you".
The -en ending not only indicates plural. In this case:
*the -en ending of "gehen" comes from the conjugated form "Sie gehen" (as the singular formal form)
*the -en ending of "spazieren" comes from the infinitive form.
Maybe you are confused because of the word order. Notice that in a question the subject and the verb are reversed, so that in this case the conjugated verb is "gehen", not "spazieren".
If this wasn't a question it would be: "Sie gehen spazieren."