I find it hard to believe that (a) the police officers didn't recognise him and (b) he didn't have a protection officer nearby. I think what probably happened was the officers just stopped and had a chat and the rest of the story was made up.
Gransnet forums
News & politics
Me too.
BBC breakfast says there is dispute over whether or not the officer drew his gun but either way embarrassing 
http://www.express.co.uk/news/royal/427673/WORLD-EXCLUSIVE-Prince-Andrew-held-at-gunpoint-in-Buckingham-Palace-terror
Oh this did amuse me 
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