I think that the thing with Nathan is that he isn't letting his power become the central definition in his life, like Peter, Hiro and Claire are doing. (Yes, she's vehemently denying them, but that's still letting her power define her, albeit negatively).

He can fly and I think that he would love to fly more often (see his comments to Niki), but being a politician is his core definition and flying would seriously put a damper on that.