That doesn't apply to non-residents, and it has more to do with corporate policy FUD at Cabelas than gun law strictness. Or, the Cabela's salesperson knew you were wasting their time since you weren't going to be buying one of their handguns in Illinois, and didn't want to deal with you. I've taken friends and colleagues from out of state out to a range or gun shop several times and once they show an out-of-state ID they're fine.
Illinois cops don't care that you have a gun in the trunk either, we've had concealed carry for 4 years and they're all used to dealing with armed residents by now.