No that I wouldnt have minded. Having the "did you steal" conversation raise flags would be more intelligent NPC behavior than just asking the same person 10 times if they stole something.
The way I did it was I pickpocketed an item sucessfully from the vendors inventory, then beelined to a place far away, then I spent a couple of minutes sorting my bags out, then I was going to go back and ste...ehrm I mean look at the scenerey some more, but I entered combat without any dialogue.
Anyway now I have gotten it to work as I thought it would. If I get away without failing the pickpocket check or talking to any guards looking for thieves you can some back safely to the area without suspicion. But I dont know what Im doing differently this time so I have no idea why I was suddenly tagged as an enemy without having even talked to any NPC about missing stuff.