2 questions.
1. Stopping them before they go in...ok, how do you go about doing that? Physically? Are you willing to go to jail for it when the law and store policy both support the individual you are stopping? Furthermore, what basis do you have for stopping them? You can't just automatically "know" they have bad intentions.
That is why it is a more logical decision to take your business elsewhere. Even if you don't get arrested, you could be sued in civil court and you'd likely lose.
2. Stopping them before you go in is fine, but what if they are already in there?
I agree that responsible parenting is key and you are 100% correct in saying that you should teach your kids what to look for. You also are correct, in my opinion, with the statement you made about keeping on trucking with a little extra CYA even though that is a different story entirely.
For me, it is just easier to take my patronage elsewhere. Just like with the gun deal. There is a store in my home town that has a prominently displayed no guns sign. It is the most convenient store to me. But...I don't shop there out of principle. If I have to break the law in order to be a comfortable customer, I'll just go somewhere else.