I don't think it's a "personal space" issue, as much as it is just being around a lot of other people and realizing that everyone there is not, in fact, staring at your because they somehow "know" you're carrying concealed.
As for why Wal-Mart? Maybe it's just because they're everywhere. I think the "ritual" is half-joke, anyway, but I did end up going to Wal-Mart and eating a plate of nachos while carrying just to carry on the tradition.