No comment on how you dealt with it, as nothing was egregiously "wrong".
Please do follow up. Follow-up by phone might be easier and less time consuming. If you do not alread have the equipment for recording your phone calls fo and spend the few bucks to get it.
The store manager, if Paul is not the head honcho, is the place to start. If no satisfaction there you just work up the food chain. Remember to get names (full names) before you get into any conversations. And be sure to use their name when talking with (notice I did not say "talking to") them. If you need to go past the District Manager to the Regional Manager I will be surprised. WalMart is known for their policy of following whatever the local law is. The higher up you have to go for someone to tell Paul that the worse it is going to be for him.
It's strange that Paul would not tell the customers who went to him saying they were frightened by seeing you walking around with a gun that you were breaking no law unless you did nomething to overtly threaten someone, but semed to have no problem telling you to put your gun in the car.
I do not recommend this to anybody else, but once in a while if I am feeling really annoyed with someone who wants me to put the gun in the car I will explain how that risks having it stolen, and ask instead if I could put it in their safe while I shop. I will not mention which Assistant Manager of which CVS drug store at the intersection of Walmsly Blvd and Turner Rd said that would be OK. ::headpalm:: (According to a friend who works for a different chain, there was probably between $10K and $20K in the safe.)