Here's what I'm reading into it: some bozo or bozette in the mall called 911 because of "PWAG" (nonsexist terminology). The cops have a policy that they have to respond, and when they were on the way, all they had was a cryptic message from DIS-patch about a suspicious person with a gun. They showed up and found there was no evidence of criminal misconduct, and having no reasonable suspicion, got in their cars and eventually left.
This was a detention, but merely an investigatory stop, for which no reasonable suspicion (much less probable cause) is required.
It is true that shopping mall parking lots are not "public highways" (though some other places, such as apartment project parking lots may or may not be depending on local ordinances). However, there are still crimes that may be committed that don't depend on whether or not one is on a public highway, such as DUI, reckless driving, and improper driving. That's because these are not traffic offenses, but misdemeanors. You can be convicted of DUI in your own driveway, and I represented a guy, once, who'd made "doughnuts" in his own lawn on a charge of reckless. So, if you're in a car in a position to be able to start it up and go, you're "operating a motor vehicle" and have to produce the license and registration on request.
I think everyone involved except the bozo/bozette did exactly what they should have. No harm, no foul.