>"we aren't trained to do that
Most AFO's weren't. Some were, as part of Op Kratos. That was the problem - there was a massive disconnect in training between two sides of the business (the CT side and the ARV side) which meant that when commands such as "stop him", were given, the expectations of both parties were very different.
Don't forget that a common-or-garden AFO on an armed OCU would have had his five weeks training, with bi-monthly top-ups, whilst the AFOs offering armed support to surveillance teams will have been massively upskilled.
Had an SAS team been deployed on a surveillance job (and I literally cannot imagine the circumstances that would require that), then tactical command would have been taken by soldiers who would (generally) have been clear and explicit about the task ahead. As it's been held that De Menzes was mistakenly identified and that there was only implication that he might have been a bomber rather than any explicit statement that he was, it is unlikely that there would have been the massive cock up in communications that resulted in him being shot.