Glad you got everything together finally. Sorry your bags got mixed up.
A few things...
1) The people working in Orlando International Airport have the IQ of a toad. They seem to not have much of an education or comprehension of basic social skills.
Like the time the Southwest agent told me I wasn't allowed to check a firearm if I was at a self-service kiosk. When I asked why she said, "because no one mans these stations." To which I asked what she and the two other ladies were doing there? Her reply, "We're here to help get people checked in."
Here's your sign.
2) Whatever the TSA agent told Southwest was wrong. That firearms declaration card goes INSIDE the locked firearm case. It's the only way to prove unequivocally that you declared that firearm.
3) Never EVER use a TSA approved lock. Doing so gives the TSA carte blanch to inspect your gun without ever telling you they've done so. Go to Wal Mart. Buy a small keyed Master lock. As another poster mentioned, keep the key with you and ONLY you.
If TSA needs to inspect it, they'll call you back.
For this reason I always wait at near the reservation counter for 5-10 minutes after my bag has been sent back. This way if the TSA needs to inspect it, I'm there.
The only benefit of flying out of Orlando is their TSA screeners are outside in the reservation area. So while I lived there I could stand there and verify the bags went out on the the loading dock.
And if there was an inspection, I was right there with a key to supervise it.
As for being in St. Louis and not Orlando - what she probably meant to say was, "We're in the United States now. We don't work the same was as the folks in the far Northern Caribbean."
In closing, other then in a dingbat agent now and then, I have never had any issue with flying with a firearm on Southwest.
Rob