I'll bet that Wal-mart's marginal employee profit is almost exactly $0. In other words, Wal-mart has hired so many people that there is no benefit to hiring one more, and has been so efficient in getting lean that there is nothing to be gained from firing somebody. (Of course, that ignores individual performance, but on average.)
The same analysis might be true for Goldman. Even though the average Goldman employee is raking in hundreds of thousands for the company, it's not clear that Goldman would profit an extra $200,000 just by hiring the next average employee. It's very likely that Goldman has a limited number of opportunities to invest and that the current staff is enough to handle those and no more.
This isn't showing Walmart is less profitable per employee than thrifty independent retailers and small, focused chains. It instead illustrates the unremarkable fact that Walmart is less profitable per employee than Goldman Sachs.
Now it's just a hunch, but my guess is that Goldman Sachs with it's approaching-six-figure average employee wage is going to be a lot more profitable per employee than mega-marts employing minimum-wagers by the thousand.
The stocks included in the S&P 500 are those of large publicly held companies that trade on either of the two largest American stock market exchanges; the New York Stock Exchange and the NASDAQ. Wikipedia
However, Mercury Interactive was included when it had around 1000 employees. 1000 is a lot, but you can still learn by comparing a company with 1000 employees to HP with 300,000.
In my opinion, this comparison would only have been interesting if a large chunk of companies within the same industry would have been measured.