I think if you lived that close to a warehouse you should have the option be able to collect it yourself but then again they have to be able make some extra money out of order otherwise its like worth nothing to them..
It's not all that easy to write warehouse software that allows something like that though.
Besides, shipping the order via UPS/Fedex/whatever does not get them more money. What it does allow is them to keep a more bare-bones staff so they don't need to watch for people in some customer facing store front who is there to pick up their order.