If you ever think about calling an emergency number: Emergency numbers are for emergencies, meaning that the number should be called as quick as possible. So there is no time to contact the district manager and ask him. When your life or health is at immediate risk, or the life or health of another person is at immediate risk, caused by some criminal activity, then you call an emergency number.
There is the risk that your district manager will retaliate against you. If your health was at risk, your health is more important than your job. If my health was at risk by some criminal in your store, and you saved me by calling the police, and your district manager wants to cause you trouble, I'll rip his head off (figuratively speaking). If any customer gets hurt because of this policy, the company is in trouble.
In cases where the only victim is the company (for example a shoplifter causing no harm other than taking the company's property), it's up to the company to decide if police should be called. If others are the victims, it's not up to the district manager.