Multimodal large language models (MLLMs) have demonstrated impressive general competence in video understanding, yet their reliability for real-world Video Anomaly Detection (VAD) remains largely unexplored. Unlike conventional pipelines relying on reconstruction or pose-based cues, MLLMs enable a paradigm shift: treating anomaly detection as a language-guided reasoning task. In this work, we systematically evaluate state-of-the-art MLLMs on the ShanghaiTech and CHAD benchmarks by reformulating VAD as a binary classification task under weak temporal supervision. We investigate how prompt specificity and temporal window lengths (1s--3s) influence performance, focusing on the precision--recall trade-off. Our findings reveal a pronounced conservative bias in zero-shot settings; while models exhibit high confidence, they disproportionately favor the 'normal' class, resulting in high precision but a recall collapse that limits practical utility. We demonstrate that class-specific instructions can significantly shift this decision boundary, improving the peak F1-score on ShanghaiTech from 0.09 to 0.64, yet recall remains a critical bottleneck. These results highlight a significant performance gap for MLLMs in noisy environments and provide a foundation for future work in recall-oriented prompting and model calibration for open-world surveillance, which demands complex video understanding and reasoning.