Even if they got word to all the classrooms (College isn't like highschool, there aren't any intercoms, Aside from calling everyone, I don't see any quick way to do it) To lock the doors. He was still out there, and police wouldn't have the athority to barricade an entire campus based on one shooting with no other immediate incidents. The shooter would have either went on his rampage sooner, or hide out and never be found.
If someone is murdered in a dorm, the college doesn't close down completely until the murderer is caught. It's just not logistically possible nor does it make any sense. There's little difference between a big college and a small town. Someone is murdered in a small town, they don't shut everything down and lock everyone inside. It's not possible.