Ahhhh shoot!
The reasons given for not shooting it sound entirely bogus.
A falling bullet from a "miss" will only reach its terminal velocity on the way down. It's weight is small. So it would be comparable to a hailstone.
As for where the drone falls, that (surely) is the responsibility of the flier. It is their illegal drone and they are responsible for its actions.
It seems to me that the real problem is that the security services are run by bureaucrats. People who are far more worried about the possible criticism and damage to their own careers than by the chaos, disruption and cost that thousands of others suffer due to their inaction and lack of initiative. This incapacity to act also sends a clear signal to anyone else who wants to cause trouble - anarchists - that a thousand £ drone can effectively "switch off" a major transport hub, cost millions of £££s an hour.
Biting the hand that feeds IT
