I've only ever gained weight on the Rome Way / coastal Francigena --- well, because of the amazing Italian food. Though I guess if you were to start out thin, you could gain weight from muscle build-up.
Otherwise, it's hard for me to lose weight, and it really only starts happening once I pass the 1,000K mark -- though losing the first 5 kilos is always easy. But whenever I've walked 1,800 - 2,000 K, the weight loss has been significant. My guess is that it doesn't start before I've walked about 1,000K because up to that point I'm converting fat into muscle, which is heavier than the fat.