I've encountered this. I'm generally on a 61cm/XL frame, so I sort of get it... it's potentially hundreds of dollars in shipping/labor to get a bike in stock in my size, build it up, let me test ride it, and then potentially just walk away - and then they have to tear it down and return it if I don't buy (or hope someone else just like me walks in to buy the bike). I'd probably do the same thing in their position. I did have a LBS (that I quite like) tell me they'd go through the effort, but only with a handshake agreement that I'd buy that bike or something of a similar caliber (in the $6k range).
I don't envy bike shop owners. It seems like an incredibly challenging inventory management problem, especially when you're going against the Canyons of the world (or the Treks, that buy up shops and turn them into Trek-exclusive stores). It's tough to turn people off (like they did you) and have them buy online/elsewhere instead. But it's probably even harder short-term to think of the outlay for a potentially dubious return on their investment. This is why I don't think I can ever own a small business!