I have been called out but after the shop.  It was a place I liked shopping and the manager saw me there again and said how nice it is when the mystery shopper becomes a customer.  I was mortified.  I was also with my better half and thinking how rude it is to say it aloud and then also say it in front of someone else.  I was really irked about it at the time.
I also thought it was sort of funny and naive of the manager to assume I was never a customer.  I won't be shopping that location any time soon.  Although it would be funny to just keep going regularly and freak them out.