Welcome to the board.
There are several things to consider.
There may or may not be a warranty with regs you buy on line. Some brands forbid on line sales and if you buy online, they do not honor the warrany and other brands are OK with it. If you read the warranty carefully, what you find is it's value other than a materials failure -which is unlikely -is to supply your repair tech with free parts when the reg is seviced. You will have to pay for the labor and the parts are not that expenive. It's value is debatable....and has been debated a lot of times on the board. Some on line dealers provide you a "warranty" that matches the manuf's....problem is you must send the reg back to them and wait for it to return. You still have to pay for the labor and shipping both ways....which is about what the parts are going to cost..might as well have it done locally and forget the warranty. Even if it comes with a warranty, can or
will anyone local repair it? Some store brands or lesser know brands are hard to get parts for and it's stupid on their part as far as I am concerned but some shops get real snotty and refuse to repair regs bought on line.
Setting up a reg is a 2 part process, first just screwing it together. That part anyone......well I have met a few that couldn't
...should be able to do. It's nothing more than removing the port plugs and installing the hoses where you want them with your fingers then snugging down the hoses. Snugging is the key here, these hose fitting and parts are brass, DO NOT crank down on them like they are hardened steel, just past hand tight is all they need. The Orings do the sealing, not the metal to metal contact so there is not need to torque the dickens out of the connections. The only thing you may would screw up would be hose configuration..where the hoses are located and half of that is personal preference anyway so it's no big deal, just move them if you are not happy. The second part is a different matter, while regs come from the factory tested, but to get the best preformace from them they should be checked and tuned. This takes a little skill and a few tools that most divers do not have. Not saying you can't learn, it's not that hard but it's not something you learn in any dive class. Then you have the problem of the horses rear dive shops. Many refuse to touch a reg if they know it's been bought online or at another shop for that matter. I personally will not deal with a shop like that but if they are the only game in 500 miles it's difficult to avoid them. If they will work on your mail order regs they are likely to charge you a fat setup fee if you carry one in and you have little good will between you.
SO, bottom line you may save some money or you may not in the long run. A lot depends on the deal you get, what the equipment is and how your LDS acts.
An alternative that often works well for new divers is to buy used gear locally- avoid Ebay. There is nothing wrong with good quality used gear and it can often be had at a great price. The dive shop may well have sold it and they really don't need to know how you got it. They may have used training gear that they will sell. You don't have a warranty but see the warranty discussion above.