Maybe in the movies. The more people the less likely one of you takes much if any damage / death so it's safer that way. They may have wanted to cover most of the exits, too.

> why would you do it in your consulate

Because that's where he was? I won't pretend to know what their plan was but it probably wasn't anything too complicated. Just go, kill x, cut up, leave.

A country not does have jurisdiction over embassies on its soil. Maybe the same thing applies to consulates. I.e., maybe killing people in a Saudi consulate is not technically a crime where the same actions on the streets of Turkey would be a crime under Turkish law.