Centipedes appear to move very fast because they're small relative to us and lightweight - at scale, they don't move very fast. But if you take a centipede and scale it up to the size of a train (square cube law notwithstanding), it would just be a very slow train-sized centipede. To make it faster, you would have to make its legs longer, because legs are levers.
Can they?
Humans have legs too, but they aren't very fast at all. I can easily outrun any human on my bicycle.
The main advantage for legs is dealing with rough terrain. I can hike over/through extremely rough terrain that I would never dream of taking a bike on. But for speed, nothing beats wheels on a smooth surface. You can't have both.
https://en.wikipedia.org/wiki/Genghis_Robot
EDIT: fixed mistake - put "Dante" but meant Genghis...