Yes, the whole set saves you money, and if for some reason you don't like the set, you can always resell it for a minimal loss. Lots of people are eager to buy interchangeable sets.
I would be totally surprised if we ever see Knit Picks products at local stores because their whole mantra is cutting out the middleman to save you money. If they decided to retail their stuff, retailers would have to mark up the price to turn a profit, which defeats the idea of Knit Picks. If they did ever decide to retail their yarn, I would suspect it would be under another label so we wouldn't even know.
Just order online, and be happy. I LOVE Knit Picks and I order from them more often than ANY other yarn shop, local or not. Shipping is quick and customer service is the bomb!