Harassment at Wien Hbf. What would you have done?

Hello! From a tourist, I'd love to hear you guys' opinion on an incident that happened about two weeks ago.

Me and my girlfriend (both from Norway) were heading to the hauptbahnhof in the evening after a 4 days stay in the city to catch the sleeper train to Rome. Outside the station a lady came up from behind and told us to stop, demanding to look in our luggage. She seemed to claim she was from the police, though she had no badge or anything. We assumed this was some form of scam and decided to ignore it. We tried to ignore her and head on to the platform, but she followed us, trying to cut us off while continuing to harass us, claiming we could go to prison etc. We stopped and asked some locals if this was legit, and they seemed confused and believed it was not.

We left and headed inside the station, but she kept following, continuing the harassment. We couldn't run from her with our heavy luggage. Fearing she'd follow us onto the train, or try to open and steal something from our luggage, and also the fact that we were in a foreign country where we don't know the laws, we decided to go ask the ÖBB staff on the station. At this point she begun arguing that we'd stolen something from her instead, it seemed. After some back and forth - the lady arguing with one of the staff in german for several minutes - they told us to call the police. We did so, and ten minutes later they arrived. One officer brought us to a backroom, asked us to open the luggage to have a quick look, then concluded we hadn't stolen anything and let us go. The lady didn't follow us after that, and last thing we saw she was arguing with the police. The whole thing though caused us to miss the train, and we had to take an early and expensive morning flight to Rome instead.

I'm curious to hear, did we do the right thing? Or should we have just tried to ignore her while buying food and headed to the train? Should we have opened our luggage and shown her? What would you have done? Have any of you experienced anything similar?