When Kristi bolts from the store, she triggers the security alarm with Danny chasing her. The security guard stops Danny, who didn't trigger the alarm and he has no reason to suspect other than thinking they're shoplifting together, and completely ignores Kristi, who he *knows* stole something. Also, Danny could have said something like "She stole, let's get her" to instantly clear this up and get help chasing Kristi down.