Count your lucky stars. It may still be possible (though not likely) that you could be charged with this, if the store has proof of shoplifting and that was turned over to the police. If you return to the store, you run a much higher risk that the police will be called. This time, you might not be so lucky, because some stores have corporate policies that require managers to call the police, no matter the amount of theft. Stay away from the store and keep a theft off your record.
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As far as supervised probation, it really depends on the sentencing practices of the judge. However, a first time DWI offender can expect to complete a chemical assessment, and be require to file proof of completion of those recommendations. Failure to file proof of completion can result in being hauled back into court. Supervised probation for someone with no prior contact with the criminal justice system for a 4th Degree DUI is very unlikely, but not impossible. As the other contributors...
Indeed, there will be a warrant for your arrest, and depending on the severity level and decision of the prosecuting authority, you may be held in jail in Missouri until Iowa decides if they want you to be returned. Also, you should consult with an attorney because Missouri may have its own "fugitive from justice" offense, which, at least in theory, get you in trouble in Missouri.