What to do was always an issue at a TV station during live programming. My last company finally had to have a written policy as to what to do. Leave the building. While that is the smart and safe answer, over the years some managers did not want to do that during live programming.
My wife's station had a real fire at 1 am when there was one person in the building, the Master Control operator and she called her boss who said to stay. Fire department told her if she didn't leave they would carry her out. At least that boss was honest enough afterwards to admit he had told her to stay, which netted the company a fine. In that case, the fire wasn't the big concern, it was the smoke. A lot of folks were surprised to see the investigator's report listed the fire as minor, less than $20,000 in fire damage. However, it cost the company hundreds of thousands of dollars to clean up the smoke damage that spread throughout the whole building..