Not exactly "wrong", just nonstandard in the modern (western?) context. I've read that the toe-first gait was once relatively common before footwear became strong and universal---heel-strike walking is definitely harder on a bare heel, and more likely to hurt if you step barefoot on a small object.
I'm able to walk either way, which was a lifesaver one time when I started developing shin splints (from a temporary job with a lot of unaccustomed fast walking on concrete floors) but couldn't really be off my feet—the toe-first walking was nearly as fast and used a completely different muscle pattern, so I could walk that way without triggering the inflammation. :)
