I have met Agent Valdez. In the interests of being polite, let's just say he seems quite full of himself and is not a very pleasant person. He also conveys the sense of being on a "power trip."
His comments are entirely out of line. If there is no reason for you to be "investigated" you can not legally be detained. IOW, if you're not doing anything wrong, they cannot just detain you for the heck of it. They apparently are not getting the message as there have been lawsuits filed recently about this.
I would strongly consider forwarding that email response to the director of the DPS with a complaint about not appreciating the personal attitude of the negative response when all you were looking for were answers to your completely honest and legitimate questions. Don't let him get away with it.
The instructor is wrong- and if his students are following his bad advice, they are in danger of breaking the law. I would also consider reporting him- that's not acceptable either. He should know the law as a matter of fact.
Edit to add- you and your co-worker should read the law, carefully. It is quite clear that carrying into such establishments without a valid CCW license is in violation of the law.