I won't shop at Wal-Mart. And I really hate Wal-Mart exclusives for that reason. If a band I was fond of released a Wal-Mart-only CD, then I wouldn't buy that CD.
I wouldn't object (too much) if my own stuff was sold at Wal-Mart... but I would refuse an exclusive. I won't criticize those who do shop there (often their prices are lower-- though at what cost?) but I wouldn't force my fans to shop at a place that will never, ever see a dollar from my hand.
So, I understand his point. I'm a little disappointed that his ivory tower doesn't include news on public opinion of Wal-Mart (apparently his TV doesn't run those Wal-Mart specials like mine does) but other than that, if he is unhappy with Wal-Mart practices, I think it's good that he follows through with actions not just words.
Note: I don't listen to his music or, really, anything he says.