The difference between "detention" and "arrest" is that in an arrest, the cops have to give Miranda warnings and generally can't ask questions once a lawyer has been requested. Detention is more informal. Generally they can't search -- In order to avoid these restrictions, and avoid Mirandizing the suspect, cops don't arrest, and they "request" permission to search. No matter what they tell you, this request Now if they really have questions or want to search, they can always arrest you. But they technically need probable cause to arrest. If they arrest and search, and have no probable cause, the search can be surpressed at trial. So while you sit in jail for a while, the prosecutors would have no case, or much worse of a case (which makes it easier for a plea deal).
Cops and guards always go crazy when they have cornered a suspected criminal. I think the difference is in what happens when you go before a magistrate/judge in a supression hearing. It may very well be that if/when you try to leave, they arrest you. But you can always demand your stuff back and say you're going. Puts the pressure on them to defend a probable cause finding. Not to mention that
private security guards probably do not have the same immunity to suit as the cops do, so if they hold you they might be open to getting sued. Cops really aren't subject to that liability.

