They did exactly the right thing. The man was already under suspicion, with connections to the bombers. He had on a padded jacket in hot summer weather. He refused to stop when warned, jumped the turnstile, and ran onto a train. Another story also said that he tried to take a hostage on the train.
They would be derelict in their duty to do anything less than kill him in the circumstances. Their duty is to protect the public, if possible, not to wait until a train is blown up and then pick up the pieces.
Yeah. A message was sent too. Taunting, and practice runs can get you killed.