Do report it, with the threat to shop somewhere else. While it is hard for supermarkets to much about this, they will follow the money: if they believe that something like this is frightening customers away, they may do something, for example by patrolling car parks. This may appear "pointless" in itself, as there's a limit to what they can actually do, but sometimes the presence of security staff can have an effect.
Seeing homeless people around is a sad fact of life, although it shouldn't be. There's a spot I walk past where the regulars have dropped the line "spare some change, please", and now say "God bless" to everyone who passes. I've sometimes seen several people talking to whoever is there, which I have not seen anywhere else. There are also those who "work" the underground, with their well-rehearsed speeches, some of which I know by heart. It's a well-known fact that some homeless people are in gangs, sent there by somebody else and picked up by car at the end of their shift, but I'm not sure how to tell them apart from those who are genuinely homeless.
It is crossing a line into intimidation when they start invading your space by banging on windows; and as others have said, they can be robbers in disguise, so of course we have a right to feel nervous. There are things which beggars used to do, which I haven't seen so much in the last ten or twenty years: the car window washers, for example, who would wash the windows of cars at traffic lights without asking, and then aggressively demand payment. My mum says that one such man kissed her. My DH says that he remembers times when, as a young man, beggars or charity collectors (before the age of regulated "chuggers", armed with their lanyards and clipboards) made him feel uneasy, for example by pursuing him, and grabbing his hand when he ignored them. He also recalls school trips in France, where if their party was seated outside McDonalds, the child beggars would descend, and would tug at people until they were given money. (His fellow pupils would mutter "look at their pristine trainers!")