By law I thought the only companies that could hold info on you is the police, NHS, tax office,employers, financial, insurance type companies etc. Other companies I thought had to provide and Op out clause or as in online companies and Op out box.
If companies hold data on you that could cause distress the data protection act cover this. It is under "Right to prevent processing likely to cause damage or distress"
http://www.opsi.gov.uk/acts/acts1998/ukpga_19980029_en_3#pt2-l1g10 I am sure there are other clauses to protect the consumer in the data protection act.
If companies are misusing the data protection act the information commissioner office
http://www.ico.gov.uk/what_we_cover/data_protection/enforcement.aspx have the legal powers to enforce companies to comply with the data protection act.
This is a worry and I hope it is not true but if companies are allowed to do what you said then yes I would be extremely worried, I certainly would not give them any personal information and would boycott the store.