There really is no "transportation" exemption for IL licensees. I wrote a longish post about why I think this is so.
http://fccaillinois.blogspot.com/2014/04/transport-versus-carry.html
What the concealed carry licensing law actually says is this:
Sec. 65. Prohibited areas.
(a) A licensee under this Act shall not knowingly carry a firearm on or into:
So if it is one of the 23 prohibited areas under section 65 (a), and you are a licensee, you just cannot carry (or transport) a firearm there. Note that there are some minor exemptions to the complete ban in these 23 areas that are found in sections 65 (b) and (c) and sections 65 (a)(3) and (a)(13).
Credit unions are not one of the 23 banned areas under section 65(a).
Section 65 (a-10) allows a private property owner to ban the carry of concealed firearms on his property by posting the prescribed sign. Note that this is not part of section 65 (a) so the direct prohibition found there would not appear to apply.
(a-10) The owner of private real property of any type may prohibit the carrying of concealed firearms on the property under his or her control. The owner must post a sign in accordance with subsection (d) of this Section indicating that firearms are prohibited on the property, unless the property is a private residence.
I don't see how an unloaded gun in a paper bag is not a concealed firearm or that it is not being carried.
However, it is unclear to me just what law might be broken. The FCCA does not itself explicitly prohibit the carrying of a concealed firearm (which the law defines as a concealed handgun) onto private property that is posted but not banned under section 65 (a).
It does allow the owner of the property to do so though by posting the sign. However, the owner always had that power under the criminal trespass statute, just in a more watered down way.
It is unlikely that WalMart posted the sign. It is not even clear that WalMart owns the building. Only the building owner can prohibit carry by having the sign posted.
My guess is that there is no criminal violation involved in violating the sign if the CU posted the sign on their own since it is unlikely they own the building. But, that is just a guess and my opinion on it won't stop someone from being taken downtown and booked for some kind of violation.