Roads do have a slightly higher weighting in the path-finding, thus the settlers will follow roads.
However, there’s a condition. If the road path is much longer than the overland path, they will go overland. Basically, they will follow roads if there’s roads going approximately where they want to go, in the direction and path they are going.
Roads also do give a slight bonus to walk speed. It’s not much, but when crossing from one end of a town to the other, it can add up quickly.
-quote from Ethrel, One of the Developers