If they were on the A35, without blue lights, they were possibly simply going onto Dorset Fleet Services in Charminster for servicing and/or MOTs.
Otherwise, if they were using blue lights, they might have been on an exercise for a major incident situation. (It seems to be the time of year for emergency services exercises. Here in Suffolk, Stowmarket station was swamped by coppers yesterday, with 'Police Exercise' signs all around the place).