Walking requires either a flexible outer cover (and everything can only flex a limited number of times before it fails--we would fall apart if we didn't have self-repair) or it has a piece which is sometimes exposed and sometimes not. Every rover to date has gone into dusty environments.No legged vehicles, at least not yet. Legged robots are still very new, and they'd need a lot of testing before they are sent on a mission to another celestial body.
While I believe it would be possible to construct a leg that used purely magnetic coupling and had no problematic surfaces that's heavy, power hungry and causes a big problem in getting power to the piece that moves. Somehow the sci-fi walkers always manage to ignore the dust issue.