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)
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.