For a mountain bike I've found the parking lot to be sufficient. All I really want to do on it is get a feel for the position, and the speed humps and small curbs provide a good opportunty to get a feel for the handling. My LBS has a couple of MTB test tracks set up in the parking area (which is quite a large area), so there's really no need to go further.

For a road bike, it's good to at least have the option to ride a bit further. Even in a big parking lot, you often just don't have space to test higher speed stability, braking, cornering etc. Parking lots can also be too bumpy or debris-laden to safely take on too much speed. My LBS is right near one of Denver's bike trails and a few quiet roads, and they're more than happy for you to ride away from the store providing you leave a CC, DL and sign a waiver. I took a 10 minute test ride on my road bike and the salespeople were all surprised I didn't go further! I rode bikes at 2 other shops in Denver and both happily allowed me to ride away from the store (within reason).

IMHO, you did the right thing taking your business elsewhere. A new bike is not a small purchase, and not one many of us can afford to make a mistake on. Find a shop that will support you well during pre-sales, and you'll more than likely have a shop that will support you after you hand over your hard earned cash.