I don't think I did anything other than make it a collision and use the shell setting on the stairs/subway. I know if the subway is set to volume and there is a hole anywhere in the mesh, then it will not work because, to Blender, it has no volume when it is not completely closed up. I guess choosing the both setting would work as well.
That is mainly for water that is just dropping through the steps. If it is generally following the slope, but cutting corners or is lower then the steps, then the problem is probably with resolution. Also if you are using just the preview to judge where it is going, it may not go through the steps when you render.