Ah, I figured there should be some perp-telegraphed indicator that a warning shot would work. That makes sense. Looks like there's a bit more police-murder in Police Stories than I originally though. I wanted to arrest everyone! Everyone Lives!
If you hit them with 'F' they sometimes (maybe always?) give up. So you can hide behind a corner, wait, hit and arrest! There's a problem when they have hostages though... and it's not the most easy thing to do in the world, if you want to arrest every criminal... Good luck!