Consider the fact the professor says "this classroom is the safest place you could be" - probably because it was a pretty secure room. If it was a science lab some of those are built lock-down ready. I've had classes in basements too with big heavy doors into the room.

Some classrooms are genuinely safe in lock downs so there's a lot less reason for alarm if you're not getting shot at currently and opting for the "stay focused until there's more information" route seems reasonable.