Well. . . that's how they determine if you may have stolen something. Some people do steal things, and since the WalMart employees do not know you, they cannot know if you have stolen something or not. A good way to speed the process along is to know which items you've purchased are likely to have set off the alarm (you'll usually see the cashier tab or rub them on a pad or designated area of the register). As far as being law enforcement, no, they are not. . . but they are a theoretical line of defense against shoplifting all the same.

Funny thing is, where I used to work, we had no training or authority to stop people who set off the alarm, so we mostly just waved them on. People got angry about /that/, too. As a retail employee, you can't win either way, so you just go with what you've been taught.