I, too, have purchased at the Microsoft Store, and had no problems at all. And as Pallandri said, the insurance is better. You pay for it up front ($99) instead of paying monthly (close to $250, IIRC, over two years), and the deductible is $50 instead of $100. I've used it once. Walked in with my busted-screen 928 after a man-eating snake tried to devour me and my phone saved me, handed them $50, and they handed me a box with a new phone. No waiting on the mail, no refurb. They just handed it to me.
Additionally, I've walked in with other problems with my phone that were not caused by me, and walked out with a new phone in hand. The last time I had to argue the point with the manager, but I was polite, yet firm, and even though I don't think they really had to give me a new phone, I walked out with a new phone. Altogether, I've had five 928s. When I upgrade again, I'm going with the Microsoft Store.