Photos from Duddingston:
The Bank Hotel
Through one of the gates at the top of the lane
Two barrels that they may have had to roll/carry
View from the top of the lane
The Skittle Alley in The Sheep Heid Inn
Where they made Haggis, this is actually part of the main bar.
The garden at the top of the lane, where I think the hockey players are entering in 34-38.
The view of the Sheep Heid Inn from the lane (33)
A clear part of the Community Garden at the top of the lane
Not having access to the images I couldn't get proper angles for comparison, and I'm not convinced if they went through the gate at the top or at the left, but there was a sign saying the gate to the left was a private garden, so pretty sure that it was the top gate.
Also the LMA is no longer there, and the distance from Duddingston to Craigmillar Castle is 1 mile according to the road sign at Duddingston.