I know for certain that upon initial release the Mac stores got the first macbook Airs before the retail electronics did. I grabed a new Air before they hit the shelves at the Mac stores (only by hours).
As for there being any physical difference, absolutely not.
This (urban, and true) mythos came about due to some things, for example sold at WalMart which are in fact "B grade product" (a non electronic product I wont mention here) which are the EXACT same make and model etc. as those sold at other retail shops in which the product is in fact superior in both mfg. and the materials used in making same.
That product (not a laptop or electronic part) is a known confirmed fact from years ago.
From these few products, people have assumed broadly that, like you have questioned, "maybe Apple store gets better macbooks than best buy etc...." However that isnt the case at all in the case in question.
When best buy got the new Airs, most stores (I cant confirm all obviously) sold out immediately, and when back to school and college hit, best buy and a few others were scrambling for new Airs to be shipped to them.
The notion that..... (Ive heard this asked before several times) that "maybe the big box retailers get "B-grade product"...." as relates Macs is wholly untrue. If there were ANY truth to that it would be burning across the internet like fire to gasolene. 😊
First thing some TECH SITES do is tear apart new Apple products and disect them down to every little bit. Youd hear it LOUD from them if that were even remotely true.