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Observations:

Moving to the parking lot does not necessarily mean leaving. Out if sight is not "gone".
An armed felon moving away may be moving toward another victim, signalling for reinforcements, or going for the heavier weapons.
The threat may change, but it's still there until prey or predator is completely gone.
Moving to the exit may allow a better view of the situation, and better decisions from that point.
Chasing is generally a bad idea. Overwatch of their withdrawal, not so bad. Getting descriptions and license plates, good.