I'm only minutes into the game, so maybe it's too early to know, but is there a way to have both characters move at once? As of now, I moved the woman up to the road, but then had to switch characters to have the dude separately follow her. Am I missing a shortcut or command to move them both at once?

They don't actually have to move together, when you walk up that highway with either one there's a cutscene. During that cutscene the other character comes into view. I don't think there are any points where you absolutely need them to be at the same place at the same time.