Revealing mistake: When Mrs. Petrelli is sitting with the dead Peter, just before she lies down on his chest and starts to cry, you can see the "dead" man tilt his head slightly backwards. (00:21:10)
Continuity mistake: When Sylar comes for Isaac the painting of Hiro and the dinosaur is visible in the studio in several shots, even though Hiro took this painting to Linderman several episodes ago. The episode director even comments on it during the audio commentaries.
Chosen answer: Hiro's powers are still quite unreliable, and a locked closet door isn't a huge obstacle. Since Hiro knows he needs to rescue Ando, it's probably safer to try and bash the door down than risk teleporting to the wrong place or time.