This speedrun of Windy Hill Act 1 demonstrates how exploring really does pay off in the end. As said in one of the comments:
We had to explore for over three hours (yes, really) in this single act to find this route – the fastest route we could find between the start and the goal. There are loads of different routes, each with different ways to tackle them – and undoubtedly there will be even faster ways than this. The level’s ‘Color’ ability is an option, as are different routes along collapsing platforms. If we stopped to show you all the awesome things, it would be a pretty rubbish speedrun.
You can check it out below.