Yes it is true. Step Out and Step Over can be interpreted as 'execute this next bit without showing me anything on the diagram', where as 'run fast' means 'travel along the diagram path'. Until recently (v6.2 I think) the fastest run speed was, relatively speaking, slow. Now the maximum run speed has been made faster, but I still don't think it is comparable with Control Room speed. That's why you should always test your stuff from Control Room rather than get too confident that because the diagram runs well your solution is complete.
