This topic has been done to death. Some of the suggested explanations were:
1. The entire conflict was scripted for the demo- it would not have showcased sniping if the enemies ran away.
2. The Radiant AI for that bandit made him freeze in fear.
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I'm hoping it was option no.1 tbh - for one, there's the fact that they are bandits/other evil doers, and so would be geared towards combat. I could understand if they were doing nothing wrong (which would also be a great explanation for the shock, but I doubt it), but if they're criminals doing criminal things, surely they'd be used to attacks, or be even slightly on their guard to start with?
Plus, even if they were to freeze in fear, they'd at least turn around in the direction they thought the attack came from? I mean, if my mate got hit by an arrow in the left side of his head I'd at least look towards the direction that it came from, even if there was bugger all I could do about it. Or even if not that, I'd crouch down and try to see if my mate was alive or something. Just...something, as opposed to drawing my weapon and staring at the wall.