I'm disagreeing with the claim that they were in a tough spot. This should've been a pretty easy call for them.
First, I'd hope that a cop would know that the skyways are public areas - right off the bat, they should have told the security guard that he was wrong and that there was no problem. But barring that, they were - at worst - investigating a trespassing complaint. Lollie was already proceeding out of the area when they arrived, so the trespassing was already over and as has been pointed out, if they didn't witness the trespassing, there's not much they can do. So what was the reason for chasing him down?
The cops escalated things. Period.