Agreed with AMFM - something to celebrate rather than get alarmed by. Not seen one locally myself but have seen plenty of other birds not normally associated with urban areas, e.g. buzzards and falcons, so not wholly surprising either. A good sign for the local ecosystem!

Having said all that, don't rate its chances too high if it sticks to the local roads. City dwelling pheasant it may be but unlikely to have any better road sense than its rural cousins.