Yeah, I see a potential problem there if the government decides on exit that that particular Buddha is a problem. "But the concierge said that there would be no problem!" Sure, that's not exactly what s/he said, but....

Concierge also has to protect the hotel from liability, -- part of his/her job. I would probably expect the Concierge to say something more along the lines of, "Export of some Buddha images may be considered to be illegal; but I've never heard of anyone having a problem with small, souvenir-type Buddhas such as the ones you're carrying."

I think that they key is that s/he must at least alert the guest that there's a potential for a problem, regardless of how unlikely it is that the guest will actually be ensnared in a problem.