It's an odd thing. You'd figure if they have the ability to tell NPCs to walk along roads to destinations (which they definitely do) that they would at least have some trigger to point them to the right destination regardless of where they currently were on the road.

Or maybe they are heading the right way, but they have no concept of 'shortest route' for whatever reason and just head off in a random appropriate direction? That wouldn't explain the Dragon Bridge one, though, unless they were planning to run a tour of Skyrim first...

Do they literally just spawn walking in a random direction along the road, and have to compensate for that without turning? Has anyone ever followed them to see if they eventually loop back around?