One step moves you one tile in any direction, but look at the triangle below. The two sides running N to S and W to E are both 9 tiles (and nine steps). The diagonal line (hypotenuse) is a greater distance (12.7) yet still only nine tiles and nine steps.
12.7 - 9 = 3.7
3.7 is 41% of 9
So that means you move 41% further (or faster) running NE/SE/NW/SW than you do going N/S/E/W, yeah? Unless I'm missing something.

I remember in AD&D diagonal movement on the grid cost you one extra step for every two. In other words moving two spaces diagonally counted as 3, 4 counted as 6, etc. But in UO there is no penalty, so you just gain all that distance.
That's a really significant difference, and worth putting to use in pursuit or flight, or just travelling in general...
This would be really useful at sea as well. I will start to apply it for hauling up MIBS by favoring "forward right/left" over "forward" on course to the markers.