I've had a pedal come off the spindle while riding. It was a Campy clipless pedal which is constructed about the same as all the other clipless pedals in the house. A plastic retainer screws into the pedal body from the crank side. This retainer holds everything in place. Is that the same as yours? It unscrewed while riding and the pedal slid off the spindle, much to my surprise. I put it back together and finger tightened it until I got home. It wasn't ruined though and I'm still riding it years later.
Having said that, it's concerning that the shop changed their story. Also, if the retainer backed out, only the last couple of threads might be damaged. If all the threads are stripped, the shop must have been too heavy handed with it.
I wouldn't go back there. Look on E Bay or other sites for good used pedals. You should be able to find the at a good price. I've also found nice pedals with cosmetic problems at the co-op for $10.