HH, yes of course the police have to look at every possibility, including the very remote chance the guy made it all up!.
However the fact that it is a stated aim of these terrorists to capture a service person or policeman is well established with three known plots already attempted and foiled by security services.
As for why Marham, why not? can think of no better place to do it.
Remote roads, lack of cctv and very slow police response time makes it a perfect place imo.