I'm not sure if I've ever been figured out, though I suspect I was at a simple burger shop. Quite often, nobody really says anything and you just wind up with excellent service, plus you get to watch employees scramble around cleaning up the mess that their restaurant usually is. Win-win, near as I'm concerned.
Often it's worth it to the store staff to not to report that they spotted you, and certainly that much has never happened to me. I have read of multiple types of shops where people noticed their customer profile called them out on being a shopper, such as a car service shop.
The only reason I've ever had shops rejected is, as Flash points out, mostly my own fault in missing a guideline, and once when a scheduler biffed it and put me up for something before the rotation was up.
Finally, yes, even with the high end shops, you'll be paying out of pocket. I keep a specific credit card just for hotel charges that will ultimately get reversed.