General rule of thumb at the big Walmart that I go to is they look at unbagged items in your cart. I’ve never seen them look in a bag. I always scan the unbagged items last, and if they ask for a receipt, I tell them the unbagged items are at the bottom of the list. Last time I was there, I was profiled and he gave a discrete hand signal for me to keep going.
At the Walmart grocery I usually go to, I’ve never seen them check at the exits, although I have seen them detain a couple of people. But I went to one in a richer part of town, and they had a gate at the exit and were checking everyone.
The receipt check only occurs at the Walmarts around here that are in the sketchier areas. The closest Walmart does not. It is also clean and nice. Ten minutes away is the Walmart with armed guards. The started that after somebody got shot.