You need to get the rock located to the left of the enterance to Knuckles' version of Speed Highway (in a little lawn thing) and bring that into the store. Then, when you take the chao egg off of the "mini-alarm," put the rock where the chao egg was and you'll be able to leave the store with the egg. --True Red & SA Tails
In Sonic Adventure DX Director's Cut there is a chao egg in the store you come in from the area where you get the Light Speed Shoes. You can't leave the store with it so how do get it?