If something like bag checks and gun-walks to the door upset you, speak directly with any of the managers at SAIL. I guarantee you'll be 90% assuaged.
The managers will agree with you that some things are a little clunky or inefficient, but take the time to explain to you why the policies are in place.
Specifically for bag checks, they're not done all the time and for every body. SAIL only does them a couple times per year, during the highest shoplifting periods. 300+ days of the year you won't receive a second glance, no matter what you look like or how many bags you're carrying.
Regarding walking a gun outside the building. This practice saves them a fortune on insurance, savings they pass onto customers. This is not a trigger locked and proven safe firearm, like those you're allowed to handle at their counter.
Think about it, store staff have no way of knowing if you've stuffed in your pocket a dozen rounds of ammo for that 12ga you just purchased. What's to stop you from loading it up right there on the spot and going on a shooting spree? At least if they escort you to the door, they've done all they really can to protect other shoppers and their staff.
Same thing if you bring a gun in for service. A manager will be called to meet you and escort you up to the gun counter. YOU might think you're the safest most respectful gun owner in the world, but nobody at SAIL knows a thing about you.
SAIL's hunting staff are given strict instructions and true stories from occurrences that took place in the Quebec stores, such as the guy who brought a loaded firearm into the store, walked all the way through the store to the hunting section and then plunked it down on the counter. When asked to prove it safe by staff, he scoffed that it was completely safe and then proceeded to accidentally blow a hole through a wall.
Idiots are everywhere and even if you aren't one, it doesn't mean a company shouldn't take reasonable precautions to protect itself and its customers.