For many of the sky bridges, the time you would save by walking outside will probably be used up waiting at intersections. The roads around the ICC are busy. That's why the sky bridges were built. West Street in particular is a main thoroughfare to move cars through downtown at the edge of the core, so the bridges to the JW are very helpful.
Weather in Indy in August can also be uncomfortable. It is often 85+ with high humidity and possible rain showers in the late afternoon. Those temps also bring out an unpleasant aroma from the underground utilities, so the bridges will be more pleasant on the nose.
Also, we have panhandlers. If you're not the type who can walk on by, they may make make you uncomfortable. They are not allowed inside the buildings or bridges.
All that said, there are some great restaurants you'll miss if you just stick to the bridges, at least on the east side of the complex. I know there are people who just go from the hotel to ICC to the mall food court, skipping everything else in the city.
Regarding the stadium, last year you could only access via the hallway & tunnel that runs alongside the east side of the dealer hall. I don't know with the expanded presence whether any of the main gates will be opened for access.