I buy from a local distributor and part of that service is that they set the game up at their shop and check it out to make sure everything is working properly before bringing it to me. I have no need or desire to be part of "the unboxing". To me, opening a box isn't all that special. I'd rather the machine be checked out first for any issues so they can be resolved before I get it.

The distributor I buy from is completely trustworthy and well established though. In your situation you're probably best served going with your instincts so that you're doing whatever you feel you need to in order to be satisfied with the way your purchase works out. Also, I'd think you could ask the distributor for shipping documentation and a picture of the unopened box before they open it up and bring it to you. The serial number for the machine is on the outside of the shipping box so you'd be able to check the serial number in the picture against the machine you receive.