Strange. I have never been asked to unholster or unload my weapon here (Montgomery, Alabama) at the Academy Sports. They do escort you to the front if you buy a weapon and I'm not sure what that is all about.
The folks at the Academy Sports here have said that it is corporate policy to go by state law. I do think the lady you encountered is confused concerning what she had you do.
Best advice: Go back and speak to a manager and/or get the district manager's contact info.