I agree that going IMMEDIATELY to the nearest police station was his best bet...unless the other dude was right behind him. He might even be in background shots (if he exists). Regardless, Mr. Wells didn't seem REAL upset about the bomb going off. In fact, he was rather calm, almost taunting the cops to come and save him.
I think he had a message for the world and the entire scenario was part of his plan. Let's consider the fact that his written text is 9 pages long. Gimme a break...9 pages?? What ever happened to "This is a stick up. Put the money in the bag".
And he's how close to where the power blackout started??
Let's consider, too, the evil mastermind theory. Why would he pick a victim at random? It could have been some punk teenager who was selected to deliver the pizza. Anyone who went to this much trouble for a bank robbery would like to know that his victim would cooperate and actually do it.
And, in any event, bank robberies are usually a piece of cake. Most robbers don't even disguise themselves and they still get away with it.