"On the face of it, it seems a plausible theory to suggest that he entered by the locked door and hid himself somewhere in this wing, and escaped after committing the murder by jumping through the bedroom window.

But it is impossible to get over your point that if he had entered by the door he would have tried to escape by the same means, not knowing that the door had been locked in the meantime.

To do that he must have traversed the corridor twice and gone down and up these back stairs while the guests were coming up the other stairs.

He couldn't have done it in the time.

He would have been caught--cut off before he could get back.