I've never seen signs at any Costco I've been to here in the Home of Costco, either. Arguably, no signage under WA law means that their "policy" means nothing. The counter-argument is that there is a statement to that effect in the membership agreement, and that by signing same you are affirming that you are aware of the ban.
On the gripping hand, when they had multi-packs of ammo cans there a while back, the hipster kids running the register and bagging/boxing said "Man, wouldn't it be cool of we sold ammo?!", so I dunno...