In fact, not stepping aside and not being involved, could get you involved in a bad way. Too many times have there been incidents where someone (either an employee or a customer) has stepped in front of a fleeing person and gotten their clocks cleaned. I knew a gal who worked a convenience store when two underage football players came in to steal cases of beer. She stepped in front of them on their way out and the guy in front swung one of the cases and struck her square in the head. She ended up going to the hospital.
The point is, the "bad guy" is a wild animal who is in flight mode. Don't make it so he feels he has to fight his way out. Especially since he had a friend, according to your story. That situation has the potential for a lot of ugly written all over it.
As far as the security guard, he is trying to be a cowboy. Screw him. That guy thinks he is that good then he doesn't need your help. He needs a pink slip. At the very least, by your description, that guy should be charged with menacing and brandishing after his little stunt at the sidewalk with his taser. I have known and helped a few security and loss prevention people that were good at their jobs, and I have known a lot of ones who think they are cowboys and I stay clear of them.
As far as calling 911, like Sixto said, why? You didn't have a crime committed against you, and you were clearly out of danger. There were plenty of employees there who are trained on when to call and when not to call. Let them handle it.