This can be a very sensitive subject in the CCW community, and the gun owning community in general. I have a background as a LEO and active duty military, so my own view is biased by my experiences and training; as I would wager everyone's view is. My response will be based off of WI state statute 939.48, as that is where I reside. My views are just that, they are not legal advice nor am I telling you what to do in any situation.
Firstly, as some already mentioned, even if you have your CCL you're not entitled to play sheriff. The fact of the matter is you're entitled to to defend yourself against death or great bodily harm, only if you cannot flee. Yes while your right to self defense can be extended to a third party, you better have darn good justification for it. If you currently carry a weapon for self defense, be sure to familiarize yourself with your state's statute entitling you to self defense.
Now to move on to my personal view of the topic. I whole-heartedly stand behind closing to engage a threat. Now this still needs to be done in a reasonable manner, mind you. It would be hard to justify running 3/4 of mile through a mall because someone told you there was a mad man with a gun in shooting up Barnes and Noble. If you cannot personally hear and or see the attack taking place, it's probably best if you got the heck out of dodge.
I understand the need and want to protect your fellow man, but in the end it must be tempered with reason. After all that's the standard which most courts will be judging you by. What a reasonable person would do in your situation. I'm sure if I don't mention this, someone will drag this dead old horse out to beat it a few more times; "I'd rather be judge by twelve, than carried by six." Yes this is true, but it is not applicable in the types of situations presented. I am talking about involving yourself where you shouldn't be doing such.