Thanks for the example. It is caused by choosing a startpoint on a (probably unnecessary) sidewalk along Bloomsbury Way which has not been connected to Bloomsbury Way at any point. Changing the start point to the main highway instead of the sidewalk works correctly: https://www.openstreetmap.org/directions?engine=fossgis_valhalla_foot&route=51.51750%2C-0.12447%3B51.51697%2C-0.12679.

Rather than delete the probably unnecessary sidewalk I've added a connection at the crossing https://www.openstreetmap.org/way/1219719275/history which may fix that when routers next update their data.