Is it allowed to exit the game to the main menu and load the autosaved game again, to warp to the police station. It would save me roughly 30s, if I do this after getting the grapple gun. The 2000 bricks I would collect on the way back, I can easily get somewhere else in less time.

I'm playing on PC, i guess you wouldn't save time on the WiiU. No idea about PS, Xbox and Switch though.

This is allowed in most other lego games so I think it's fine.

On the pause screen the Wii U has "Return to the Police Station", which would save a lot of time.

I think you wouldn't save any time by this on the Wii U. At first the Wii U has longer loading times and secondly if you go on "Return to the Police Station" you spawn inside the Station and so have a second loading time exiting it.

Comparison of loading a new game: PC : ~20s (mine) Wii U: ~60s (Trajan)