I'm guessing that was still part of the curse.
In BoF1 they could freely transform back and forth (such as the soldiers who bring Ryu to fight the Wizard after he poisons Nina).
Although why they don't fly there directly instead of walking, I don't know.Spoiler:Nina's story in BoF1 is a little confusing. So the "child" Nina (pink dress) is amnesia? A time-traveler? I know that only "adult" Nina (the blue dress one in Tunlan) can fly. Why there are two Ninas is the part I don't understand. The two soldiers that initially join her should be able to fly, yes? Actually yes they should, because how they even learn about the wizard was one of the two poisoned soldiers using its last life force to fly back to warn the others.
Was adult Nina sent back in time for unknown reasons by Cara (or Karla, in Japanese. I guess they changed her name since they didn't want to give a demon a real human name? Then again, she was once a non-evil human.)
Nina got all timey wimey'd by the Time Key when the party was trying to save Carmen from being frozen in time. So she got sent into the past where she fell in Tunlan.