No, there are no car hire offices at the train station at Lagos. There are several about 500m away over the footbridge on the main avenida.
However, I am sure that if you advise your car hire company as to your time of arrival or arrange to call them on your mobile when you are on final approach...e.g. after leaving Portimão Station, they will send someone to meet you.
As you are from the other side of the pond, remember that most vehicles here are manual shift. Remember to ask for an automatic if necessary although you will pay a premium for it.
