
Instead of "preserving momentum" i.e. retaining the AP discount for travelling in a straight line, changing direction by 1 degree (i.e. one tile to the left/right of where you were headed) would only lower the current bonus by 1 stage instead of completely resetting it. This is an alternative suggestion for the mechanic described in the first paragraph.

Fallen taking a U-turn
Another thing that could be done to balance this out if needed (complicates it a bit but fits thematically) is so you have to travel a minimum of two tiles before changing direction (provided you are aiming to retain the movement bonus). Akin to drifting with a vehicle, would make sense that Fallen's Infernal Jets would need to carry them a short distance before changing course.

Momentum lost!
Momentum retained!
Basically instead of making Fallen completely reliant on straight lines, make it so they can plan their movement a little and preserve their momentum via a few zig-zags.