This may or may not be accurate, but it's an interesting point nonetheless. The small police post was added during great depression of the 1930s, was linked directly to Scotland Yard and some claim that its slots are designed so that whoever was posted there would be able to fire on any rioters. Trafalgar Square has always been a centre for protest and confruntation. It is, after all, the centre of London.
Nowadays the station is, we learn, probably some sort of cleaner's cupboard, which seems very sad for such a well known feature of the central square of Britain's capital city. Mind you, the alternative is probably to place a person in there every hour until the queen dies and then erect a statue of her there.
Click here to see the location on a map.