Yeah, I thought the whole "Thanks for purchasing this rifle from us. Now you have to wait for the manager to come walk you out." is pretty stupid.
For one, they have no legal grounds to stop you from walking out. After you buy the firearm, just like anything else that you buy, you own it. You own that firearm every bit as much as you own the shoes that were on your feet when you walked into the store.
This same concept also applies to stores such as Walmart or BestBuy whose employees ask to see your receipt as you walk out. You have no legal obligation to show them your receipt. None whatsoever. This even extends to when you walk out of the store and an alarm sounds because the alarm system is malfunctioning or the cashier did not deactivate anti-theft devices. As long as you paid for the items, you can keep on walking. They can request for you to stop and show them your receipt, but as long as you paid for the items, they legally belong to you, not the store, they can't exercise control over those items, and you do not have to show a receipt, stop, or heed to their demands.
With that said, while store policies like escorting you to the door or checking receipts bother me, it's typically easier and quicker to simply comply with the policy instead of arguing about how they can't force those measures upon you.