You definitely have the right to ask to see a written policy. Just be polite and ask nicely. If the store really does ban guns on the premises, then they are required to have a sign on the front store window incidcating this policy. If not, then it's most likely the employee being uncomfortable with the gun being in the store. Most likely a good opportunity to educate a little, carry a pamphlet with you.
If there is no store policy, then it also depends on how much hassle you're willing to deal with if they keepinsisting thaton you leaving or putting the gun away.