I think I would follow him. First of all, he was able to shield me from bullets with his body, so either he's a robot or he's wearing extremely good body armor and is completely crazy. Either way, I have the limb strength of a wet noodle who wastes all of his time talking about situations from movies on the internet, so I wouldn't be a match for him. Secondly, he has a freaking shotgun. He could kill me at any time, so it wouldn't be wise to run from him. Secondly, he was able to track me down in a crowded area, so even if I could get away he would still be able to track me down.
I think I would ask him to prove he's a robot first somehow, but I really don't have much say in the matter.