Well, since Nexus just began dealer sales a few months ago, just about everyone who owns a Nexus bought it from the factory. I have no first hand experience to offer, though.
From the reports I've read online, there was nothing unique about taking delivery at the factory - it was basically an onsite dealership that had only one brand. The advantage was that you were most often specifying the equipment you wanted and getting it built to order, but once you placed the order with their sales people, it was pretty much like any other. You could now do the same by ordering through a Nexus dealer somewhere outside of Indiana.