SO...
Went back to LBS. They had installed the cleats and pedals.
Well, turns out that Bontrager shoes under size 40 or so don't like clipless pedals. Apparently even the manufacturer knows this (so the LBS guy says--though they haven't shared this with everyone in the store), they haven't fixed it. GRRRR.

So, I got a refund on the shoes. I rode tonight with my SPD MTB shoes. MISERABLE. The fit was off because my shoes and pedals were different from the original. I hurt my hips, back and knees. Let's just say it's been a bad week.

I'm currently shopping online for a carbon road shoe that's not a Bontrager. Thinking Sidi or Northwave. Once I get new shoes, I'll try again and see how it goes. Until then, I'm taking a break. Let my body recuperate. Do some swimming or something. Just not riding the bike until I get things straightened out.