I bought my original Surface Pro from the Microsoft Store website[1], and have had fantastic service on the few occasions that I've taken advantage of it. No phone trees, no waiting times, and no bullshit (they took me at my word on what I had already troubleshooted and moved on from there).

At least from my single experience, I would say there is little incentive to buy from a retailer rather than direct.

[1] http://www.microsoftstore.com/store/msusa/en_US/pdp/Surface-...