I used to work at a
Disney store.....if you do not have a receipt showing that the item was purchased at WDW, policy is to refuse (politely) to remove a security tag.
This is a good example of why you should always retain purchase receipts. It is really easy for cashiers to forget to remove tags. It happens all the time - at all stores that use them. Some just set off a security alarm when you leave the store, others have dye in them.
All of them can be removed, some easier than others. But, I won't give away the secret! That goes against all the loss prevention training I have ever taken!