Exchanges can be done online regardless of where you purchased your Surface as long as it's still under manufacture's warranty. Returns have to be through where it was purchased. Store to store or online to online.
It's flexible based upon the store. Stores will also do warranty replacements although technically they are not supposed to either. If you call a store ahead make sure you ask the person who answers to transfer you to the physical store. All inbound store calls go to a call center.