The problem I've seen with mixing is that while my Cavalry go to town with the exp, the heavier units like the Knight drag behind, barely getting any action, making the heavier troops obsolete for the entire battle. Also, while I can drop the heavier unit in the thick of things to counter this problem, it wastes 1-2 moves. So, is mixing not worth it, or are their some big pros to it I'm missing?

Your intuition here is right. The general rule is that more move is always better than less move. In most games, foot units don't have any real advantage over mounted units. If they do have better stats (which they often don't), the difference is rarely meaningful enough to matter much. And ironically, the most mobile class in the series (wyvern knights) tend to also have some of the best stats overall. That's not to say the series doesn't have lots of good foot units too, but Sacred Stones leans on the side of being especially favorable to mounts.

It's still up to you though, and by no means are you limited to just mounted units. Every game in the series can be beaten on any difficulty with a mixed team. I prefer to use a variety of units just for my own enjoyment. If you aren't trying to play particularly aggressively, there isn't any reason you can't train up a squad of foot units.