Well, it's gone

It's just CN closing another road crossing. There are quite a few places like that along the Watrous sub. It has to do with crossing liability. I.e. CN or private owners (if it's a private road), don't want to maintain it, so they close the crossing instead.
As for tape, it has nothing to do with police, it's just standard issue. For instance at the U of S, the law library is currently being rennovated, with the same yellow tape used, but it says: "Crime scene do not cross", yet librarians, students and construction workers cross it daily, so it doesn't mean much.

Where did that road used to go?

For the record, it wasn't much of a road. It was just a fake crossing set up for work on the bridge. It didn't go much of anywhere.

Well it wouldn't go anywhere is just for say highrailers to go on the tracks instead of going to a crossing say 5 or 6 km for the site they are working.