I think they were just confused enough that they wondered if it was some sort of test or drill. When they realized 5 min later that they were out of pocket and in a private business they did immediately leave.

If this was a real raid they would have called for more people and tried to confirm they were in the wrong place. The fact they left at all proves it was just an exercise. They knew they would get in way more trouble for being out of pocket than for failing to arrest someone and letting them get away. There was no one to arrest. Thus they bailed.