DracoMagister: It's a strategy game, not RPG, and you compete with other heroes to be the king of the hill. It would be no point in just wandering around with no enemy.
This is true upto a point. The campaigns are usually a lot slower than single scenario's so you shouldn't be overwhelmed before you get going. And especially in H3 you will not usually run into enemy hero within the first week, or 7 turns, of a game unless your playing on a very small map.
I do remember that in H2 there was a map that started you with 5 Heroes but the other 3 AI's also had 5 Heroes within walking distance of your starting town.
To your original question yes the Heroes have a set movement allowance per turn, however this can be increased in Heroes 2 and beyond with Logistics and Pathfinding skills. In H3 and H4 leaving your slower troops behind also speeds up your Heroes movement points for the turn.
Have you played many other TBS games at all? I ask so that if we have played the same ones I may be able to point out better comparisons or things you may want to look forward to.
Some of my top TBS games are
Master of Orion 2
Master of Magic
Heroes 3 & 4
Eador Genesis
Civilization 2 (sadly cannot find my disk of this anymore and it's not on gog :( )