Heavy Artillery cannot travel by default. it is not a mistake in the game. If you want to move on the same landmass, that is what trucks are for.
If you are having unload issues, this might be an error in your install. I load and unload all the time for Heavy Artillery in games I am playing using both trucks and transports (even a Transport Aircraft from time to time). Unloading of Heavy Artillery is always in the same space as the transporting unit, so you cannot unload everywhere.
Plus, make sure you have unit stacking enabled for the game you are playing. Without unit stacking I am not sure you can ever unload outside of a city or fortress.
Cheers :)