How fast did it get cloudy? The main issue with dumping the store water in is usually pathogens, but I think KonvictKeeper has heard me before because those are pretty much my opinion word for word. We don't sterilize our fish when we net them into the tank. One possible issue though is ammonia. They release ammonia into the bag, something not needed in any tank.
What size tank is it?
How many fish did you add?
Was it just the danios?
Were there already fish in the tank?