It did increase for me (e.1.1.0), but the increase is very slow on the map (same with Riding). After you get past level 20 the XP gain from moving around the map becomes so slow it's barely noticeable. Also the description for Riding says the faster you move on the map, the more XP you gain, so I assume the best way to get Athletics XP on the map would be to have a riding horse in your inventory and running on foot if you're solo, and having all cavalry army while your character running on foot if you're with an army. This will give you no less than 6,5 speed which is enough to evade most bandit parties.