I caught a man shoplifting and I didn't stop him. What should I do?

This sounds like a joke...however ethically you should have told the manager. If you had a heart you'd report it after the man left since the stores have cameras everywhere these days and the store knows what's going on and occasionally unless it's pointed out there's been a problem they don't prosecute. The jails are too full now with more serious crimes and insurance does pay, and we in the end pay for that guy.