You have to set show_travel_trail = true in your config file.

In case you’ve never set a config value, there’s an explanation in section 0-a here: https://raw.githubusercontent.com/crawl/crawl/master/crawl-ref/docs/options_guide.txt

This particular game was actually on an online server, though. This is on by default for online games, in combination with travel_delay = -1, which skips the walking ‘animation’.
I’m guessing, it’s the default there, because redrawing the screen for every step would probably be quite laggy…