In a sense, you and the retailer are both right. You're right that tulle, thread, elastic, and ribbon is exempt from lead testing as long as there is no screen printing, metalic looking threads, or chemical treatment on the otherwise exempt materials. The retailer is right that they need documentation that the final product is compliant. You may not need any testing but you still need to do the paperwork & tracking labels and keep a file about each product (or batch of products) you make showing it's compliancy. What the retailer is probably looking for is a GCC, the government requires a retailer or USA based wholeseller to keep a copy of this in their files for each batch of children products they carry regardless of the exemption status of the raw materials used to make the item.
The CPSC has an outline of what needs to be on the GCC at
http://www.cpsc.gov/about/cpsia/faq/elecertfaq.pdf .