You're absolutely right. I think it just comes down to the fact that first time carriers think they're being polite by asking. That and they don't realize that if there are no signs posted that you must be asked to leave before any action can be taken.
I've been doing it for a little while now and most of the time nobody even notices! I wear a full size 1911 and most people don't notice or don't care. Most anyone else will assume you're a cop.
If you are asked to leave drop what you are doing and walk out. If you engage him in conversation or argue with him after he asks you to leave it can be construed as non-compliance.
Follow J.Gleason's post and you'll be fine.