Could be a local ordinance; one place in PA I frequent does not allow firearms to be sold from a store front, only from the home.
Could be they are waiting for their FFL to come back. Sometimes the legal and federal red tape is slower than construction.
Maybe Wal-Mart forgot to get the FFL until the store was almost complete.
The only Wal-Mart's I have ever been in that didn't sell guns were in NJ. Too much of a hassel to deal with NJ's archaic gun laws I guess.