Seems to me you did great. The only thing I would have done is had the same conversation and not relented to putting the gun away and staying. I would have left and then started up the food chain with them.
Having written that I also think you were really stand up and the way cops are around here almost brave. There are several of these types of venues that need pressing but I wouldnt do it without the backing of a few others and some video rolling so you get a big thumbs up.