What caused wveryone to get nervous when Papa said,"in this family we don't shop at the Wallace store?"

For one thing Stacy and TJ had frequented the store without permission. The Wallace store was also the only store in town that gave credit to blacks. They also had much power in the town and boycotting it would certainly cause trouble for the family.

because the Wallace store ment trouble because the Wallace store was managed by white people

this may be a spoiler if you are only to that point but it's because the Wallaces are the night riders.