Yes, I do that as well, even when not on a job. Sometimes I like that I do it, but other times I'm annoyed, LOL!
The other thing shopping has done for me is to realize the importance of recognizing good service. Just because you're not on a shop doesn't mean you can't reach out and give them recognition. (Of course, this would have to be done by either calling the manager or company headquarters, and I certainly wouldn't reference that you're a shopper!).
There have been many times where I've intended to do this, but didn't always follow through. Since I've been shopping more regularly, I now make a point of it! I actually did this last week, when I renewed my homeowner's insurance. The representative was really wonderful, and went above and beyond the call of duty. When I called the executive office of the company, of course, they thought I was calling to complain. They were SHOCKED -- and also delighted that I was calling to compliment an employee.