I know that I'll catch almighty hell for this but...the guy had nothing to hide, he complied with their requests, and it went smoothly.
Seems to me that "Hey Mr. Revenue Collector ATF man, go piss on a rock. Come back with a warrant!" might not have produced the same outcome.
The key thing here is that, regardless of what you decide to do in a situation like this, be polite and be clear. As I said, and as anyone who has conducted interrogations, I mean "interviews of citizens suspected of wrongdoing", will tell you - demeanor and body language tells a whole lot more than words. Clearly, in this situation, that was the case.