Wasn't there a comparison between Walmart and Costco several years ago in the WSJ where the latter's business model was criticized as being to generous to workers? Maybe they figure that with their relative generosity to workers, they can hold back unionization while their competitors have to be more generous or accept unionization.
As for Costco's clientel being more liberal, not so sure about that. They like to cater to small business owners who I believe are often conservative. And as I also shop at Costco, I can tell you every time a right-winger like Coulter, O'Reilly and Goldberg come out with a book, they have their book tables stacked up with those authors.