What would you have done?

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It seems to have some elements of groupthink, though we don't know what they were thinking.
https://en.wikipedia.org/wiki/Groupthink

Another similar term that might fit this better is "Herd Behaviour"
https://en.wikipedia.org/wiki/Herd_behavior

I think I'd not have left the place too readily until that verbal request over the speakers. I think that would have tipped the balance for me. But the thoughts I'd have during the event would have been many:

My strong tendency to resist interruption (to my shopping in this case) would have been a factor in my initially staying there, and I'd have been wondering if I would be better off to leave.

Seeing that nobody else was leaving would have reinforced my tendency to stay put, and I'd have wondered whether I was right to let it do that. There was once a bomb scare at a theatre, everybody left, including me, but I got as far away from the building as possible, and noticed a lot of people outside were standing next to the windows and looking inside, no doubt curious about the work of the bomb police, but to my mind acting recklessly. So I'm aware that crowds of people can do stupid things.

I'd have been trying to weigh up the risks - "hmm.....fire alarms are always going off without there being a fire........but you never know........how awkward would it be for me to interrupt my shopping this time?.......if there really is a fire, how near am I to the exit?......how easy would it be for me to escape if I start to smell smoke or see flames?........how much time do people usually get to escape once they've seen for themselves that there really is a fire?..........everybody else is staying put, so I won't be singled out for disobeying..........hang on, they're leaving, so I might be inviting contempt if I stay, and it's starting to look more like there really is a fire"

I think part of the reason why I'd have left after the verbal request and seen everybody going to the exit is that danger of getting into trouble for being the only one ignoring the request. Not quite groupthink. As I grew older my ideas about what's really going on became less and less likely to adopt other people's beliefs. It's hard for people to persuade me of anything unless they explain it in a clear and convincing way. I often do what the Romans do when I'm in Rome, but that doesn't mean the Romans have controlled my thoughts. I just don't want to risk being attacked for being different. Though I take it seriously if everybody is acting in a particular way. They might be wrong, but they might be right, and although I've seen a lot of mass behaviour that I think is stupid, I think it can be dangerous to just do the opposite without due consideration of the matter. And if I don't know much about a situation, I might well follow the herd, because they might well know more than I do about it.

Interesting question. It may depend upon past experience. If I had been in that location a number of times and went through the same process of a false alarm, I would probably ignore it.

I remember something like that happening one time. Everyone seemed a bit confused, including me, but just continued with our shopping. They didn't tell us to evacuate, so I guess the alarm was set off by accident or someone was trying to pull a prank.

One time, however, we all did have to leave because the power to the store went out and wasn't coming back on anytime soon, apparently. I ended up getting some groceries at the drug store nearby, which still had its power on.

The father of a one of my daughter's soccer teammates had a brother who was working on a very high floor of the south tower of the World Trade Center on September 11, 2001. After the first plane hit the north tower, he and others on his floor did the right thing and got on elevator to leave the building. About twenty floors down the elevator came to a disembarking point where they had to get off and get on a direct elevator down to the ground floor. They were met by people telling them that the south tower workers were being told to stay put and not evacuate the building, all the problem was in the north tower. Most of the people in the brother's elevator stayed on the transition floor. The brother said to heck with that, got on an elevator down, and walked out of the tower. The people who stayed were above the hit line and perished.

Herd behavior. Do what you think is right for you. Alarm goes off, you leave.

This is probably the reason why I followed the herd, because I'd never been in a supermarket when a fire alarm was going off before so I was unsure of what to do, and being so everyone else was ignoring it then I assumed that's what we had to do. I thought maybe someone had opened a fire exit door by mistake which can sometimes trigger an alarm. If everyone else was starting to leave the store then I would have done the same of course.

But I think that if it happened again, and everybody was ignoring it again, I'd still probably copy them and ignore it, and just wait for the person on the loudspeaker to tell us to leave the store.

Speaking of fire alarms, one went off at work today. But everyone in the garage just looked up from what they were doing, unsure of whether to leave - even though we've been through fire training many times. But if there was a fire or even just smoke in the garage we would probably all be able to see or at least smell it and we would automatically leave the building.
It turns out they were just testing it because we'd had a power cut this morning (only for about 2 minutes) and they were just testing, which is good. We were all told to just ignore it so we all just carried on with our work.

I got several experiences of false alarms of varying locations.
While actual ones so far hadn't scared me.

People had to coax me to go with them first before I follow any of them.
If no one notices or calls me out on it, I'd be still doing my own thing.

I'm not stupid for not having the first instinct to run or follow the herd first course.
But as soon as I find out that someone is worrying about me or if I deem it dangerous enough (usually either close enough to sense smoke or heat), that's when I'd stop.

We often used to get false alarms at work. There was clearly something wrong with the alarm system. Most people would obey the rules regardless and immediately go out to the car park, and wait till the fire brigade had checked it out and declared it safe to go back in. I used to delay my departure briefly sometimes, to make sure my work wasn't going to suffer (it was often perishable scientific materials that couldn't just be left without losing a lot of work), and then if it was winter I'd go over a bridge into an adjoining building where the alarms weren't going off. My reasoning was (I guess) that nobody knew at that stage where the fire was (if there was a fire at all), so I'd be as likely to burn to death following the official path as I would by following my preferred path into a more comfortable place.

I didn't like those situations - for one thing, the tacit assumption was that it was our responsibility to get the work done, and interruptions beyond our control weren't automatically taken into account.

For another, a fire alarm system that often goes off when there is no fire lulls people into a false sense of security, and so to my mind is as dangerous as a system that fails to go off when there really is a fire. It's the "boy crying wolf" principle. Yet the system wasn't put right for a year or two. Apparently, as far as the insurance company was concerned, false alarms weren't dangerous, just inconvenient, because the rule was to evacuate regardless, and everybody obeys the rules don't they? As far as the employer was concerned, they were happy if the insurance company was happy, and fixing it would be expensive. I was angry about that and voiced my opinion, but it didn't do any good because I wasn't a bigwig so my opinion didn't count. Nobody seemed to care that the "crying wolf" principle was making things dangerous. As one academic put it, "the management doesn't care if you burn to death as long as the insurers won't blame the management for it, and they won't because they don't care either."