TL;DR: You can use "It Belongs In A Museum" on shop items, Brax won't complain if you leave the shop. In a fit of suicidal mania I decided to go all "IT BELONGS IN A MUSEUM!" on Brax. Found an artifact on his shelves and picked it up. Brax, as predicted, goes to stand in front of the exit. So I decided to use the ability to destroy the item for experience. Sure, Brax kept standing in front of the shop, so I knightly leapt out of the room. Only to find, lo and behold, that the game didn't detect any stealing on my part. Brax just kept standing guard, not complaining that one of his priced possesions were now expropriated for the betterment of culture. I know this is an exploit, but for now I'm roleplaying it as being an annoying governmental official confiscating "precious national treasures" from "dirty exploiting black market dealers".
Hah, I've been meaning to try that - but by the time I get to It Belongs in a Museum with a character, I'm not suicidal any more If you're still feeling suicidal, try using They Got It All Wrong - I kinda think you'd still be able to walk out with the item since, after all, it's no longer the same item. You might even be able to sell it back afterwards.
Being testing it thoroughly with my character (now deceased, long after suicidal mania passed...) and I can now with full confidence confirm that my findings work unerringly. After destroying the desired artifact you can even pick up another item and put it down for Brax to move away from the door. I expect the logic behind the programming checks if any items in your inventory is flagged as stolen whenever you (a) leave the perimeter of the shop or when you (b) put down a (stolen?) item. In the first case Brax goes apeshit insane if you have stolen goods, in the second case he lets you pass out the exit if you don't.