Most companies tell their employees to not stop shoplifters for because they don't want to risk a lawsuit, not because they legally can't do it. I've seen loss prevention employees at my local Target detain shoplifters until the police arrive.
Target reportedly also does this so they can wait until you accrue felony amounts via repeated thefts, and then swoop in with a specialized team.
Whether or not this is on the employer's mind, I also can't imagine risking getting shot over my $12-$14 an hour retail job.
My retired grandfather works at Wal-Mart part time just to get out of the house, and he said the same thing. He was working on black friday last year and was assigned to a display where the item was limited to one per customer. He said a big guy came up to him and asked what my grandfather would do if he tried to take more than 1. My grandfather told him that they don't pay him enough to try and stop people from breaking the rules, so the guy grabbed an armful of the item and left.
Well, just imagine that you can’t risk losing your $12/hr job, either.
One of the few upsides about a $12 an hour job is that it's easy to replace.
Not everywhere, not for everyone, and if you're making $12/hour, there's a decent chance a day or two out of work is going to put you in the red if you're not already.