Did you buy the used clipless pedals from the LBS or just bring them in for them to install? Yes, new Shimano pedals come with the cleats packaged with them. I've never seen any shoes that came packaged with cleats as how would the shoe maker know what pedal style you are using???

If you can post a picture of the pedals, especially a good view of the clip-in system, people here are very helpful. Without a picture, it would just be pure guessing. If the LBS sold you these used and told you those tall tales, I would run away from them and seek out another store...