No, I would have asked them to state the law saying it has to be covered and two I don't think that LEO's can tell you to leave unless management is there with them. My mom does security at Wal-Mart (up north) and she has to be present for situations involving LEO at the store. And yes, print off the laws. Did you happen to get names of the officers?
The only law that any LEO can recite are those that he/she uses multiple times in a day, usually traffic violations (speeding). Asking them to state the law would only have made things worse.