If you're going to carry the pepper spray against company policy so that you have something to protect yourself from an armed shoplifter, just carry a gun. Either one will get you fired if you get caught with it so might as well go with the more effective tool.

The only less-than-lethal tool that would be useful for forcing compliance (not just personal defense) would be a Taser ... which is also likely against company policy and I understand fraught with as many legal implications as a pistol if used.

Back in the early 80s my mom's cousin was working security for a David's store in Wichita (kind of like a TG&Y or Kmart) and was shot to death by a shoplifter he confronted in the parking lot. He was unarmed and was shot when he yelled at the guy to stop so neither a gun nor pepper spray would have helped, but had he been able to deploy it a gun would have worked a lot better I imagine.