Judy,
Actually, no HL species is on the federal endangered species list, and while several species are protected in their native states from commercial collection, 3 species are still completely legal in the pet trade: The Desert HL, P. platyrhinos, the Roundtail HL, P. modestum, and the Short Horned Lizard, P. hernandesi. Chances are that the lizards you saw were legal (though sometimes other species do show up).
It's not surprizing that they did not appear healthy. Pet stores usually either don't know the dietary requirements of HLs, or simply won't feed them harvester ants because the cost of the food makes the lizards too expensive for them to keep. Of course they don't pass this information on to their customers either, so the lizards usually languish and die.
I don't know that telling them that they're endangered species will help those particular lizards. Chances are they'll still try to sell them rather than take a loss. Although, it might keep them from ordering more. However, if it is not true and they know it, they will probably ignore your protest altogether.
What I try to do is educate pet stores about the difficulty and cost of keeping them properly (which should be easy if the lizards are obviously unhealthy). Most pet stores don't want to carry animals that are likely to die on them. Also, they generally can't sell them at a competitive price if they have to feed them ants. So, by teaching them the problems involved in keeping the animals, I can usually convince them that selling HLs is a bad business decision. At the very least I make it clear that they need to tell customers to feed them a proper diet. Pet stores make a lot of money off of food and feeder animals (even my most expensive herps didn't cost as much as their food has over the years), and since HLs will either need to be fed something the stores don't carry, or will likely die before they can sell the customer very many crickets or meal worms, their profit potential is low.
I've found that the threatened status of animals is usually a much weaker argument. Anyone who deals in exotic pets is used to being assaulted with such claims, so they tend to ignore them. Also, since such issues are highly political and emotional, you may find yourself dealing with a pet store owner who will dismiss such an argument out of hand. However, few successful business people will ignore information about the monetary costs involved in keeping a particular species. If they understand that selling HLs is not profitable (if they are given proper care), then they are much more likely to be persuaded to stop. Plus, since it is a much less confrontational approach, they are much more likely to listen in the first place. People don't like to be told that they are doing something that is "wrong".