You're going to have to explain that a little more.[/COLOR]
As you have posted over and over, police don't decide whether the person demanding someone be trespassed is authorized to do so, that's a civil matter. It naturally follows that someone who is not even an employee of the store could get a fellow customer tossed out by the cops, if they presented themselves properly. It would even be possible to do without actually lying about employment status, if phrased right.
I suppose you could certainly ask for your money back, however it would only be fair then that you also returned all the goods you received for that money. To "undo" the business relationship based on policies would require both sides to "take back" their part of those tainted transactions.
You got goods/services for your money. There may have been some confusion, misunderstanding, or even intentional misdirection, but none of that would entitle you to free stuff.
I'm not a lawyer, but from my experience with contract law on the receiving end, it's not as crazy as it sounds to you. A policy change from "follow state law" to "no guns, period" is what is known as a materially adverse change. If the change to contract terms or membership rules is sufficiently extreme that the person in question would have rejected the contract or refused the membership when it was first entered into if it had those terms, the contract can be escaped from.
A good example is a cellphone contract -- They often come with an Early Termination Fee that applies if the customer breaks the contract early. A cellphone company changing their contract to require mandatory binding arbitration would allow anyone with such a contract to cancel it without the ETF. For purposes of that ETF, the contract never existed so the ETF cannot be applied.
In the case of Sam's Club, people spend money for the membership AND spend money in exchange for merchandise. You're right that exchanging money for merchandise wouldn't entitle you to a refund (unless you returned all the merchandise somehow) but that membership fee could be impacted by a materially adverse change -- it represents a contract that would have been rejected if the current policy now had been policy then. Whether or not you could get a civil court to award such a refund in a lawsuit is a bit iffy, but not impossible. Asking the company for that fee to be refunded is certainly reasonable as a contract law settlement.