"And the biggest story going round the City of London after the attacks on Thursday morning (but not officially confirmed by the police) was that marksmen had shot and killed a potential bomber in the vicinity of Canary Wharf."
http://www.thepeninsulaqatar.com/Display_news.asp?section=Local_News&subsection=Qatar+News&month=July2005&file=Local_News20050709388.xml
Well, all the people who were allegedly told to stay in the building would know if this is true or not. They were either asked by the police to not leave the building or the weren't. Should be reasonably easy to confirm this rumour or not.