There seems to be an longtime error in the title of this movie. It wasn't taken on Herald Square. The building in the background is the Lincoln Building on the corner 14th Street / Broadway on Union Square.
I'm not sure, why the error happened, maybe because the first movie theater in Manhattan, which was showing movies of the Edison Company, was located near the Herald Square and someone used this information in a wrong way, when he titled the movie.
You can also see a part of Dead Man's Curve in the movie, where the Broadway cable cars turned from 14th Street into Broadway.
There is a Lumiere movie from 1896 nearly showing the same scene, shot only a few months later (in the movie here there is a gap on the right side of the building, in the Lumiere Movie the gap is filled with a construction of a new building.
I'm not sure, why the error happened, maybe because the first movie theater in Manhattan, which was showing movies of the Edison Company, was located near the Herald Square and someone used this information in a wrong way, when he titled the movie.
You can also see a part of Dead Man's Curve in the movie, where the Broadway cable cars turned from 14th Street into Broadway.
There is a Lumiere movie from 1896 nearly showing the same scene, shot only a few months later (in the movie here there is a gap on the right side of the building, in the Lumiere Movie the gap is filled with a construction of a new building.