The sign is correct, carry in Wal-mart is a felony in NM. No need to get mad at Wal-Mart. In fact, you could say they're doing people a favor by reminding them.
New Mexico has always disallowed open carry in places that served or sold alcohol. NM's new CCW law didn't update the list of prohibited places to remove establishments with liquor licenses from the list. So therefore, most restaurants, and grocery stores (IE, Walmart), would be off-limits.
I can understand the thought process behind banning carry in places that serve alcohol, even though I disagree with it. But banning carry in a place that merely sells it, and doesn't serve it makes no sense at all, other than banning it for the sake of banning it. But then, whoever said laws have to be logical....