Contacting Cubs management was the best choice.
With any luck they will reply to your e-mail with something along the lines of "we follow state law, etc. etc." and you can print it out. Then the next time Mr Security Guard accosts you, you can 1) tell him to pound sand, and 2) IMMEDIATELY bring up his poor conduct towards a Cubs customer with the manager that hired him. 3) Contact the store's District Manager and let him/her know about the employee's poor customer relations as well.
And yes, 'employee'... when the officer is working a 2nd job and being paid by Cub Foods, he's their employee (although he retains lawful authority in regards to criminal conduct.)