I had a cashier ask me on my 1st day of OC if I was with the police. "No, I'm just a law abiding citizen." I smiled, she smiled and that was that.
I've been back several times since and even walked right by managers and CSRs with no comments. The folks with the ammo keys ask what I'm carrying, but no body seems to be scared yet.
I would say that your manager who said to come back another time was indicating that you were ok, they just didn't want to lose the scaredy cat customer too.
I'm gonna print up a bunch of "No gun = no $$$" cards soon, just in case. I'll post em up if anyone wants em.