It does sound like a perfect opportunity: Kyle and Sarah are held at gunpoint by the police, so the Terminator should have merely drawn a gun and killed them all. However, when the police officers check Terminator's car, the windshield is still there, so the Terminator was not thrown out through the front. Instead, one cop notices that the passenger door is open, implying that the Terminator escaped through there into an alley. In one of the next scenes, we see Terminator entering a room to perform some repairs on itself. It opens up its arm, because the mechanics inside are apparently jammed, and removes the eye because it probably obstructs its view. Its gun was probably also thrown out of the car during the crash. The Terminator continually analyzes its situation and mission parameters, and probably assessed after the crash that it could not properly handle Sarah, Kyle and an entire squad of police officers (many armed with shotguns which were capable of at least damaging it) with a defective arm, bad vision and no gun, so it chose to leave, make repairs first and then try again. When it attacks the police station it is fully functional, better armed, has the element of surprise and is facing the police mostly one on one and only armed with pistols. There are more scenes were the Terminator seems to make a careful assessment before chosing a course of action that has the best change of fulfilling its mission. When it has been run over by a truck later on, the Terminator could have simply walked towards the turned-over car with Sarah and Kyle inside, and killed her; however, knowing that its leg is damaged (it can merely limp) and Sarah may be able to outrun it, Terminator chooses to take no chances, confiscates a truck and tries to run them over.
Another plausible explanation is that the Terminator is programmed not to reveal what it truly is, since this information could not only hinder its mission, but also disrupt future events as well. In any situation in which the Terminator's true identity is at risk, it takes measures to avoid being discovered; hence the reason why it left the scene when it could have simply killed Sarah. In the end, by the time it has lost it's skin, it no longer matters, since its prime objective, at this point, is to kill Sarah at any cost. Also, there is no one else around during the final chase. You'll also note that without definitive proof, the police don't even believe Kyle's story. They tell Sarah that this so-called "terminator" is someone who is likely wearing some kind of body armor as well as being on drugs in order to offer, what they believe to be, a plausible explanation.