I noticed this was brought up in several reviews (here and elsewhere):

People have complained about the player moving too slowly and getting around taking too much time. You can use the Escape key to instantly skip to your walking destination instead of having to wait for the protagonist to walk there manually. You can also use the Escape key to skip most animations such as opening doors or picking stuff up.

This is listed in the manual, but maybe it would have been better if it had appeared in a pop-up message at the start too.

It's almost certainly in the manual as well, but you can also double-click on a destination to have him run there. He'll also run if you hold down Shift