You could think it means that, but alternatively it was probably the easiest way to avoid coming across anyone. There are a lot of trees over that side, it's much denser than the thin band of trees along the path. The chances of anybody being in those thick woods are very low. If they had gone across the field at the path side of the wall over the Mary Burn that route would be facing houses so that can surely be ruled out. The only route where they would have been highly unlikely to meet anyone would have been across the field towards the woods beside the College or the golf course. They obviously didn't go back along the Roan's Dyke footpath in any direction to avoid being seen. For that reason, I'm pretty sure they must have headed over to those thick woods. I've been down that path and from where the V is, the route across the field to the woods looks like the only possible way anyone would go. The other possible routes looked way too risky. In fact they looked like total non-starters, particularly at around 5-6pm in broad daylight and hot weather. If it had been at 11pm at night and dark, it would have been very hard to guess which way they went.
Pretty much the only sensible escape route would have been the one over to those woods. I don't recall whether the Police ever searched in there, I don't think they did, but I'm not certain.