The metaphor of Walking Two Roads comes from Zhuangzi's story about the monkey trainer who, when his monkeys protested angrily at being offered three chestnuts in the morning and four in the afternoon, "went along with the rightness of their present 'this'" and instead offered them four in the morning and three in the afternoon. The monkeys were delighted. "Thus the Sage uses various rights and wrongs to harmonize with others and yet remains at rest in the middle of Heaven the Potter's Wheel. This is called 'Walking Two Roads'" (2:24; Ziporyn)
Dr. Ziporyn points out that it is the image of the potter's wheel that others (Guanzi, a Legalist work) had used to criticize perspectival relativism: "To give commands without understanding fixed principles is like trying to establish (the directions) of sunrise and sunset while standing on a turning potter's wheel." Zhuangzi, who recognized no fixed anything, suggests that rest is to be had not in fixity, but in transforming along with things. This is "depending on nothing" and simply loosing oneself into the unfolding flow of Dao without concern for where it takes you. Even one's sense of identity becomes "unfixed". This is the heart of his call to freedom.
This ability to Walk Two Roads is applicable throughout the Daoist vision of how one might be free in the world. I have said that "nothing matters"; loosed into the flow of Dao where all is well, how could anything be of absolute consequence? Morally, this slaps us in the face, but this is to be expected given that it is an experience transcendent of good and evil, benefit and harm, life and death — of all the concerns of the discriminating mind.
Yet this liberation from all care is precisely that which enables our caring and effective engagement on behalf of every relative good. We walk this road well, because it is informed by the other. At peace we can bring peace. At rest we can bring rest. Walking Two Roads is the fulfillment of the axiom that to effect change we must be it.
The Daoist vision, like the Christian, is "to be in the world, but not of it", only for Daoism, there is really no bifurcation between the world and Dao; there is no need for redemption because all is already fully embraced in Dao.
You can check out Scott's writings on Zhuangzi here.