Return to Midgar

At this point in the game, the team have a shiny Highwind capable of taking them wherever they want. The Highwind is equipped with enough parachutes for the entire team.

Their mission: To stop Hojo from overloading the Sister Ray... which is out in the open and easily accessible using the Highwind and parachutes.

Their actions: Parachute into an alleyway then trawl miles through the underground to get to a place they could have been at in seconds.

Can someone please explain to me why these f***sticks chose this course of action?

Maybe flying over where the cannon was (even if they were still going to parachute down) was too close to where the Shin Ra could have seen them, and stopped them somehow?

They already knew they were coming, so there might have been enough time to ready soldiers with weapons that could shoot them out of the air, or something, but they'd be closer to where the Shin Ra were, as they would have been there first. So they chose to land in an ally way, where they (the soldiers) wouldn't have reached yet, and got into the underground before they did.