From the sounds of it the only thing wrong here is that your gf appeared so guilty that the security guard didn't see the point of checking all sales beyond the reasonable time period. I'm sure every shop lifter he catches claims they paid for it before etc so he's heard it all before.
She was held until the proper authorities arrived. Once they did they insured a proper investigation was carried out and her story properly checked. The officer found evidence backing up her story so released her! From what you've said this is exactly what happened and exactly what should have happened!!!
respectfully disagree, the guard had a job to do no doubt, but sounds like he would be more suited as a doorman, not a shop security guard