I wonder if we'd be able to pass through without holding the wing gem... [That's musing half to herself, though.]

I assume that the mist has some kind of magic that makes it solid. As you say, it should only be difficult to navigate, not walk through. The rest of the riddle is the items needed to break the webs--a 'diamond from the clouds', one of 'autumn's sacrifices', and 'a handful of hair from the mad eater'.