Costco or Apple store

Not really. You get the same device, same warranty coverage and support.

Costco may have a better price though.

Whoever you get it from, Apple recommends you "Keep your receipt after you buy an Apple device" --> Keep your receipt after you buy an Apple device - Apple Support

And that means keep it for as long as you own the device. If you should ever need to unlock the device you will need that receipt.