That sure sounds suspicious, assuming those figs and their headgear are usually distributed across the individual bags. Too bad you already opened the bags before you noticed the figs were missing. Didn't you notice anything strange about the box or the bags (like they were opened)?
Most likely explanation is that someone bought it, took the figs out, resealed everything (semi-)professionally and returned the set. I'd call TLG for advice, but it's really the store's problem.