This is not the case here in the UK with Apple. Anything bought on the online Apple store has to be returned to them and cannot be returned to an Apple retail store. You have to call customer service who will then give you an RMA ( return merchandise authorisation I believe ) number and arrange for a courier to pick it up. Once they have received it and are happy that the item meets refund/exchange requirements they will initiate the refund/exchange. I believe this is the case with Apple worldwide.
As an example I pre-ordered the iPad 2, Smart cover and digital AV adapter on the day of launch here in the UK. After 2 weeks I got tired of waiting and managed to pick one up in a local Apple store. The online order had already shipped so I couldn't cancel it. I called an Apple store as well as the online customer service and was told by both of them I could not return the items to an Apple retail store.
If in doubt then the best thing to do is to call Apple customer service or a local Apple store.