Yeah, I'm not too clear on the specifics of that one. Just looking at it, however, it would seem that one would have to do one of two things: either incorporate walking (as you stated) or get out of the shine as quickly as possible such that you intercept your opponent before they slide too far away for you to continue.
In the end, though, this is nothing more than eye candy, and I highly advise against actually trying to work this into your game before getting other, far more important techniques well under your fingers. Still more incentive is the fact that it only works on one truly tournament-viable character, and that, should you desire to pull off something similar to this, inverted drill shines are far easier and far more consistent. Do what you will, though; I can only advise.
And no, I don't think that there is a video of this. Like I said, don't put too much stock into it.