Do people actually just go walking into houses under construction?

Yes. Some do it to steal stuff. Kids do it because they are kids. Adults will sometimes do it out of curiosity. Neighbors will check out a new house to see what is being chosen.

When my house was being built we had all kinds of people walking in to see what it would look like. Of course that was a development and the builder left the house unlocked during the day for the various contractors.