Sephiroth certainly can fly faster than this, if he cares to - though probably nowhere near as fast as Zechs would truly like. But, of course, it would be ridiculous to zoom around before he even knows where he's making for.

He follows Zechs' finger, and his eyes are indeed sharp enough to at least pick out Minigeese's movement even if he can't make out details. (He has the eyes of a cat, not a hawk.) It's enough to confirm their heading, however, and he promptly turns in that direction. It's a considerably faster trip to Zechs' home as the crow flies than it would be walking; in less than a minute, they're lightly touching down in front of Zechs' door, which Sephiroth opens without hesitation.

He hasn't wholly considered that Zechs might be living with someone, but at the same time, it's Zechs' own house. Knocking would seem a bit superfluous even if he was thinking about it. He carries the man over the threshold not unlike a bride, very possibly fully in ignorance of the custom.

"I imagine you'll want to shower," he says, glancing down at Zechs. "I can help you with that, if you're still unsteady on your feet." His lips quirk. "It's not as though I couldn't use one myself."