As I say, the station will be evacuated if this is deemed necessary due to an immediate hazard, but an activated fire alarm call point and the subsequent playing of an Inspector Sands message does NOT mean that there is a hazard that could cause an evacuation. Therefore, one should not instantly assume it is unsafe to get off a train, that one should leave the station or that one should start grabbing fire extinguishers from the walls. The evacuation message is a subsequent one and one that has to be carefully but quickly considered by controlling staff. It will be played if necessary, and then you and any trains should leave. Until then, stay put but by all means be vigilant!
On the other hand, if you feel that it would be unwise to enter a station where you have no immediate business to attend to, and where an Inspector Sands message is playing, by all means do not enter if you do not deem this necessary, as you may well save yourself a needless evacuation.