Same. Someone very familiar with the King's Cross station back in 2007 said that it seemed strange for Andrew to leave through the door that he did. There's not much out there apart from a bus stop and a short walk to the ThamesLink train, which connects to Brighton.
In footage, he seems to be walking in the general direction of the ThamesLink entrance, although he could've been going anywhere by foot, of course. However, it does make me wonder whether he got right on another train, or spent a short time in London before heading south from another station.
Also, in the video below, the video from behind makes his bag seem a bit more full than in other angles (assuming that's him in the video there). Unfortunately, the third- or fourth-hand footage is very grainy.