Amazon is making negative income every year so of course the US wouldn't investigate them. In order for the US to investigate Amazon, Amazon would have to actually be successful at all and turning a profit.
The reverse is also true. Many employers think that they should be allowed to run your private life and call you at all hours even when they aren't really paying you very much to be there in the first place. Employers pay less in taxes than their employees. Apple is a prime example of a billion dollar company who feels entitled.
The solution is simple. If you don't want a bag search, then quit. Don't work in retail if you don't want your bag searched as you walk out the door. I mean that's an occupational hazard. You know what you're getting.