I don't think I've seen security tags used for shoes before. What they often do is just have the right or left shoe on display, and so if you want to try a pair on you have to ask the SA to fetch the other shoe from the stockroom, along with the box.
Depends which shop you're in really, I've seen both. Lots of shops tend to have the more expensive ones on the wall and you have to request the matching shoe like you describe, whereas the cheaper ones are both put out with a security tag.
