The logic is that the shoplifter could have a gun, a knife or something like that. Your job would rather lose whatever is being stolen than pay for your medical expenses.

I used to work for a convenience store. The manager posted a sign behind the counter. "NOTHING IN THIS STORE IS YOURS, OR WORTH YOUR LIFE." Just keep telling yourself you're just the guy in the middle, but it isn't affecting you directly.

I feel like there is more to this story

"The customer is always right!"

There’s plenty of logic in it. Safety and legal issues. When I worked retail I was specifically told never to stop someone you believe is shoplifting. Safety is important but the kind of hell that can rain down on the store if you’re wrong? Many places would rather risk losing $50 worth of merchandise than going to court.

We need more information here. Did someone actually hold you up, or did you just stop someone trying to sneak free things out? I can see where this would be an FML if it was the latter, but if it was the former you're just supposed to give in to whatever they say and let the police handle it.

Unless your are management or security, you can’t stop them, at least by Walmart rules. The shoplifter could claim that you are harassing him and sue.

That’s ridiculous! It’s not like you put chicken on your salad.

did they have a "don't be a hero" policy

If you're not a trained security guard and you caused any injury to the shoplifter, they could then sue you and your employer for the injuries. This is America.