A.T. said:
In the non-rotating frame, where you gain/lose rotational kinetic energy, it's the Earth that provides/absorbs energy to/from you here. You yourself don't have to provide energy, just enough lateral traction (a tiny amount for normal walking speeds).
In the inertial frame, apply conservation of angular momentum with Earth and a small mass ##m## first at the pole P and then at the equator E, co-rotating with the Earth
$$I_p \omega_p = I_e \omega_e = (I_p + m R^2) \omega_e ,$$
which implies
$$\omega_e = \frac{I_p}{I_e}\omega_p ,$$
and compare the rotational energies in the two situations
$$\tfrac{1}{2}I_p \omega_p^2 = \tfrac{1}{2}I_e \omega_e^2 + W ,$$
which implies
$$ W = \frac{I_p}{I_p + mR^2} \tfrac{1}{2} m R^2 \omega_p^2 .$$
Since ##W## is positive I conclude work must be
provided to gained by move ##m## from the pole to co-rotating at equator. (Edit: I placed W on the right side, so if W is positive it must of course mean the opposite of what I wrote earlier. But I guess the discussion right now is not so much about the sign, but that it is non-zero?).
One could argue that moving ##m## from the pole to equator also need to include linear momentum, but if we split the mass into four parts, two at each pole, and let these follow symmetric paths to keep the center of mass of these four parts to coincide with the center of the Earth at all times, then there should be no need to include conservation of linear momentum.