Although the fighters from the Heavenly Network certainly had ways to break through the door, it was a breach in their code of conduct to damage public property for such a small task.
If they were fighting against external organizations, there would be no doubt that they would use every means at their disposal. But now, their role were that of guardians.
In many foreign movies, the special agents would destroy public facilities without a care for the cost in their sports cars so as to fulfill their missions. Those kind of things were complete bullshit. If it had happened in reality, their cities would have been immediately flooded with public protests.
Furthermore, they were instructed to rob Lu Shu's money and by right not to even hurt him.
In fact, they did not take their task very seriously. Five versus two and one of whom was even a rookie. Their chances of winning were 100%.