They aren’t invading the privacy here. They are preventing a malicious actor from running an attack via VPN and ssh tunneling in addition to IP address, device, etc. At worst they are associating IP with browsing at competing stores. Preventing the VPN was likely required by a lawyer and auditor and a risky attack vector for a billion dollar company.
If Walmart was breaking https and inserting man in the middle games it would be in their policy. Other commentators went off into fantasy land edge cases where traffic is being decrypted. And it still doesn’t change my expectation of privacy on a public hotspot.