Perhaps not a bug in the traditional sense but is very annoying and many players don't understand why it occurs when they are creating roads. The "arrow" portion of a connecting milestone has to have a certain amount of open space around it for the teleport to work correctly, so while a road might technically be usable through the follow along option without any blockage, this bug still can occur if the milestones aren't placed in the proper manner.
This is most prominent during the creation of underground roads placed on a narrow path in between unmined tiles. Often at least one milestone placed along the path will have some issue with "There is no space by the destination" simply because the arrow might have landed slightly closer to an unmined wall due to obscure placement or the path between one connecting milestone to another slightly touched the corner of an unmined wall making it possible to follow along but not possible to travel.
Essentially, roads that can be walked along but still have issues somewhere along the line when traveled with "there is no space by the destination" due to some obscure placement which forces the builder to go back along and destroy the milestones that might be the issue until it finally works.
There's got to be a better way to go about this.