Remember that Cabella's Corporate policy is to follow state law. This means that individual stores CANNOT make their own policies and management is not allowed to ask to you conceal or to remove you sidearm.
My only suggestion on the entire encounter would be that I don't think you should have covered up at all. The greeter has no authority as anything besides an employee and you should have demanded to see a manager immediately or simply ignored the greeter and continued on your way.
Over all though good job.