You need to use a custom script line:
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Set YourUnit = ...
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Custom script: call SetUnitAnimationByIndex(udg_YourUnit, <animation id>)
You have to check the unit's walk animation id. You can get it by converting that unit's mdx file to mdl, open it in notepad, search the "sequences" part and find "walk", the first animation listed there is 0, then it goes 1, 2, 3.... count until you get to the "walk" animation and that is the animation id. You just put it instead of the "<animation id>".
The variable doesn't have to be named YourUnit, you can name it whatever you want, but change that part after udg_ to the new variable name as well.
If anything's not clear, I can explain further.