This is a Callibaetis pictus male imago. I can't comment on the movement you observed, but mayflies often move into the shade during the day (to the underside of leaves, for example) to avoid dehydration. In the northern part of our country, emergence of various mayfly species occurs spring through fall (and even during the winter on some spring creeks or other waters with relatively stable water temperatures). In the south, emergence of some species can occur almost continuously through the year. A number of baetid species produce two or more generations per year in at least part of their range.

I wasn't expecting an identification to species!

The distinctive abdominal markings make recogniton of C. pictus relatively easy. A pale (usually W-shaped) dorsal marking is always present on the 6th abdominal segment, and similar markings are variable on 5 and 9.

I'll know one thing to look for next time.

As usual, I suspect these belong in Frass.