It's unwise to underestimate how dangerous these things are. One small explosive drone in the air intake of a B-2 or an F-35 is enough to cripple, perhaps destroy the plane.
Unwanted incursions into your military bases should prompt fear. That fear, in turn, should drive a response that includes better deterrence, detection and neutralisation.
> Rather than irrationally panicking, the wise move is to seize the opportunity to observe, collect data, and learn
Unless you does this purely passively, you'll also be giving up information on your detection methods.
> If the intent of the operator(s) is actually malicious, it was pretty unwise to essentially show your cards like this
It's telling them to stop.
No, it shouldn’t. Military should respond based on doctrine, thought, and analysis not fear.
Bases are designed to obscure things from radar that may be visible from ground level deep within the base.