MB here - agree w/ the other MB, I wouldn't mind at all but I'd always rather know more than less. It increases my level of confidence in knowing that you would always share anything important if I know that you share small stuff too. (Hope that made sense.)
Basically, it wouldn't matter to me at all that you chose to walk w/ a friend rather than a moms group. But you letting me know makes me feel like you want to be totally upfront. That kind of behavior creates so much trust and comfort in your judgment. And it gives the MB the chance to make clear that she trusts your judgment and isn't a nutcase!

Just a great relationship building tactic all around.