There is also such a thing as a "dead-man's trigger", whereby the detonator is first armed by pressing down on it, and then triggered off by releasing it. So in such a case, shooting a person in the head would still cause the terrorist to fulfil his/her mission.
The main cause for concern regarding the shooting of the Brazillian is due to faulty intelligence and procedures. Since he was initially (and erroneously) linked to the bombers, why didn't the police stop him at his home, instead of allowing him to board the bus, then into the train station? They already had him in their sights way before he even arrived at the station. IF he was really armed with bombs, wouldn't it be too late anyway, since he was already at the station?