It's a little hard to explain "går". In general, you should only use it for "walk", but sometimes people use it as "bussen går" "toget går" "flyet går". I think it has something to do with dialects, maybe. I personally think it sounds funny when someone says it, and I often joke that i've never seen a bus or a train walk before. The most correct thing to say is "kører" (drives): Toget kører, bussen kører etc...
It's not just your Danish classes-- earlier in this very course, when we were first introduced to the word går, if you translated the phrase where it wanted you to use 'walk' it would mark it wrong and tell you that går was only used specifically for walking and not for a general sort of going. Imagine my confusion when we got to this point; I bet it looked a lot like yours.
I'm not Danish, but I think it's similar to “gehen” in German which we also use only for going on foot, but you can colloquialli say “Der Bus geht zum Hotel”. It does make some sense because if the bus were an animal, it actually does go there. When you talk about a passenger (“I go to the hotel by bus”), you never use “gehen” though.