They aren't made at the store...so they have to be shipped there 🙂
I can understand why you're worried, it is an expensive piece of equipment...but don't! I bought my PowerBook in the store but bought my mom's MacBook online and it came perfectly. The box was packed securely in another box. Plus if it arrived damaged (very small chance) it's not your fault and it should be covered.
Very safe and very efficient. Now stop waiting and go order your MacBook!!!