Hualamphong is a terminus, the train essentially empties there and they have security do a walk through to check for whatever, left luggage, the odd bomb, used condoms, who knows.
It is however somewhere stated, I think there were signs and announcements to please wait until this is complete until boarding. Maybe it's become so much common knowledge that they don't announce it anymore.
Thais would likely think you were being, impolite, an obnoxious farang, deaf, blind, all of the above. Though of course being Thai I doubt they would mention it.