Hi Amy-

I struggled with mine a lot at first. I haven't been riding much more than a week and I have gotten the hang of it. My pedals are Ultegra too- I loosened the adjustment screw all the way and I can get in and out of them a lot faster. I know you mentioned they set them up loose in the store, but you might want to check that anyway. It made a lot of difference to me.

Wendy