I havea questing stemming back to the friends that stole from von maur... can the cops go through their things WITHOUT a warrant.. I just learned in Government they cant... I was just wandering... they said there is no video tape evidence of them stealing.. SO can they counterattack with an unlawful search and seizure

Depends, what's really important is if they consented, if the officers asked to look in their bags / coats / whatever and they let them, then its OK. If they refused and the cops grabbed them and searched them then I think they broke a law.

A lot of people assume that when cops ask to search bags, cars, homes they have to say yes and the asking is just a formality, it's not, they are asking because if you say no they can't do a search without a warrant.

This is a very fine area, if there is proof of a crime, and the officer has reasonable belief that a crime has been committed, they can. Also normally the store has already stopped you and are holding you, so you are already under arrest, once you are under arrest, they can search you.
If the store security or store clerks say the person stealing, then they are arrested when they try to leave the store either by police but normally by store security, when the police come they are merely taking you into custody. But at the time of your arrest, they can search without a warrant.
Also most states allow for a Terry Stop and Frisk, which allows them to search your person without cause basically for safety.