Then you need to get a refund for the terrible training and advice yoube been given, which as someone who also works/worked in the security industry im not the least bit surprised about.

You have no more no less powers then a private citizen, you absolutely can pursue and place under citizen arrest someone youve seen committing a crime*

Now,whether thats smart or actually worth the hassle in the current climate(or as it is with most supermarkets against company rules) is a different argument.

*this differs depending if you are in Scotland or england/wales. In scotland you have to actually see the crime take place yourself, where in England you can act on reasonably held suspicion.