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I'm with RealName on this one. There are several reasons to understand the university's lack of a shut-down.
First, unless there was reason to believe the gunman was planning on killing more people, single shootings are indeed more common than spree/mass shootings. An email within a couple of hours is actually not a bad response time, if you believe the only purpose is to inform, not warn. The university and police probably thought the shooter was attempting to flee and therefore unlikely to be a danger, not planning a second attack. If the shooter left behind the weapon used in the first shooting, they had even more reason to believe the shooter was no longer a danger.
Second, college students are for the most part adults. Unlike a high school, junior high, or elementary school, these are people who should (theoretically, at least) be responsible for their own well being.
Third, many college students are either paying for their schooling, or their parents are. They can also have challenging schedules. If you shut down the school when you had no reason to believe students were in danger, you upset a lot of customers.
Safety first, of course, if you have any idea more people are in danger. If evidence appears that the gunman left a note threatening more people, or some other message, then the issue of why there was no lock down should be discussed seriously.