I don't know what he knew at that time but he should have tried to help stop the problem as soon as he did know. I've had to assume that his own security would have known by the end of the speech and whisked him of back to the WH for his own safety - he was still the President then.
That said, the general security arrangements for that day seemed totally inadequate, especially if what Cheyney said is true and it was known in advance by FBI etc. this invasion of the Capitol was all pre-planned.