In uncertain circumstances, I think I would almost always prefer not being under concrete.
Well, since one brick structure collapsed, and since one's immediate impression was that it was an earthquake, running out into the street seem perfectly reasonable. The fact that it was a powerful sonic boom, not an earthquake, would be something I might figure out at my leisure only after running outside.
This holds for a nuclear strike as well as a bolide.
It's hard to know what caused the boom if they didn't see something first.
Just for the historical record, an Egyptian dog was allegedly killed by a meteorite:
http://en.wikipedia.org/wiki/Meteorite
Quote: "The most infamous reported fatality from a meteorite impact is that of an Egyptian dog that was killed in 1911, although this report is highly disputed."
Another quote: "The first known modern case of a human hit by a space rock occurred on 30 November 1954 in Sylacauga, Alabama.[41] There a 4 kilograms (8.8 lb) stone chondrite[42] crashed through a roof and hit Ann Hodges in her living room after it bounced off her radio. She was badly bruised."
She was also extremely fat, and the meteorite grazed her ample side. I'll bet it motivated a soul-searching consideration of a weight-loss program:
http://blogs.funeralwise.com/dying/files/2012/05/Anne-Hodges...
The only reason you haven't heard of anyone killed by meteorites is chance, not some inherent impossibility of it happening.
If the fall was a few miles to the side, you would have heard of tens of thousands of people being killed by meteorite, seeing that a few cities were nearby.
In any case, I don't think it's wise to just "enjoy the show". How do you know at that point that it's not a cluster of meteorites, with more to fall soon nearby?