He did everything right except for going back in to shop. I would have replied: "I will remove my firearm from your store along with my family and all my future business. If I don't have the right to protect myself and my family, in this store - then I will NOT shop here and I will pass on your policy to every gun owner that I can possibly reach.". Or put all of that on a card and hand it to him when you leave. I'm going to make some cards.
A heads up, my local Lowe's is extremely anti-gun. Every single time I go (went) there, I would see employees huddled together looking at me with a half full cart and I'm looking at items. Not your typical BG profile. Finally, someone will get the nerve to approach me.
I have never been back, after 4 visits that were the same. I strictly do all of my business with Home Depot, where no one has had a problem. I know they don't care, but I alone have taken at least a thousand dollars of business away from Lowes. I bought some air filters at Lowes, they are the only place in town that carrys them. Do I get them there? Heck no, I order them on the net and not from Lowe's site.
If enough of us could manage to have one website where we could exchange such information, and as a large group of gun owners, we could send letters to the headquarters of such business's stating our legal right to carry. If they don't change their policy, we could have a nationwide boycott that might affect their bottom dollar.