corrections 2

Hi,

(a) After they stole all the jewellery, they were ready to escape from the shop.

(b) The burglar alarm started to go off. Actually, they didn't know that there was a burglar

     alarm in the shop.

(c) They immediately found a exit to escape through, but they were surrounded by the

      police. Finally, they were caught.

(d) This was the first time I witnessed this kind of situation. I hope that I never encountered a situation like that again.

Clive

The usage of "Finally" and "in the end"  in this sentence introduces redundancy. So, as Clive corrected, "Finally, there were caught' is good. 

Hi,

c) They immediately found a exit to escape through, but they were surrounded by the

      police. Finally, they were caught.

Why should I put this word?

'Escape' is not a transitive verb. You can't say 'They escaped an exit'. Instead, you'd have to say something like 'They escaped through/via an exit'.

In answer to your question, I guess you could say 'They . .  found an exit to escape', in the sense of  'They .. found an exit in order to escape'.

However, the whole sentence is rather awkward and unidiomatic. It's much more natural to say something like 'They immediately found a way out'.

Best wishes, Clive