Seems like you handled yourself very well. Be sure to follow up with management and let them know they are risking loosing a customer of 11 years if they insist on a "no weapons" policy.
Also I got to thinking about the security guard's statement: "we do not allow weapons of any type on the property, this is private property, and I am asking you to remove it from the property immediately!" I wonder if he was reacting the same way to every person that carried a pocket knife into the store? I would venture to guess he was not.
Keep us updated on what is happening with this!