Spoiler:I played through the demo, and that frustrated me too. I though my escape was timed when he told me "we're out of time" so I tried to run to the back of the train, instead of slowly picking off the henchmen, but then I noticed that, no matter how long I took, it told me I was out of time at that exact spot. Took me a while to find the exit through the front cabin (I tried shooting out the unbreakable glass to the driver's cockpit.) When I finally got out, though, the helicopter shooting at me was a nice JamesBondesque finish to the mission.
I think you can't expect anything but linearity from a mission set inside a train. The second mission gave you more choices...