These types of things rarely go 100% the way the police plan. He ignored warnings and continued to run, jumped a barricade and ran onto the train. If the police had done as you suggest and he had a bomb and it had gone off, they would have been criticized for allowing him in a residential neighborhood. It's a damned if you do or damned if you don't scenario for them. As tragic as the situation is, I don't think that they bear 100% responsibility for this man's actions.
I think this is just about the competence.
If there is a slightest chance that he is a terrorist, the police should have prevented to get close to crowded places.
I know that is not easy, but I I am the policeman, I would have choose a location away from the crowded place.
If we accept the teory that is a difficult job and let off this kind of mistakes, we can get prepared to get shot by the police on the way back from our sunny holiday with a bit of suntan and a backpack, listening to our walkman...
If the public start to have doubt the competence and/or motives of its police force, there are very hard times ahead for both... Only the terrorist could benefit from that.