"Att vara på väg" specifically means that someone is on the way somewhere, as in at this very moment. "Att gå" when you have a specific destination in mind is more akin to leaving. It can technically mean you're on your way somewhere as well, but you might want to add something to the sentence to clarify that. "Han håller på att gå till dagis." "He is (currently, in the process of) walking to kindergarten."