I just went into a shop in Daggerfell, went upstairs into a small room, closed all doors, and stole something from a shelf.
When I went downstairs, the guards came and arrested me. How did they see that?! Is there any way how I can see wheter somebody sees me or is this somehow random-generated?

Stealing things from stores in Daggerfall just about never works. I've personally never seen it work even once. If you want to rob stores you can just enter at night after they've closed and take anything you want. The stupid part about that is there's absolutely no consequence to that. You can just run around taking things from the shelves (no need to buy or steal) and nothing bad happens. The only tricky bit is getting in. I think it can be done easily with a lockpick, and it can definitely always be done with the easier possible Open spell.