That could be a problem. If you have way different parameters than the LFS then it will shock your new critters with different PH, alk, ammonia, nitrate etc...
At the very least, add some of your water into the bag a couple of times to help get them used to the combination of yours and the old water before going straight to your water. Just a cup or so each time. then pull them out of the bag and throw away the water in the bag. You never know if LFS have been treating with copper or anything that may harm your tank.
If you have dumped them in and find empty shells around it could be a predator (wrasse or other snail eater)