Does it matter where I purchase an Apple product (Macbook Pro), or will I get essentially the same product with the same level of support no matter where I buy it?
If it's a certified apple reseller you will get exactly the same product as when purchasing at www.apple.com or the apple store.
If it's another shop that is not certified by apple, you should ask them (how are we here supposed to know?).
You will get the same level of support. It's worldwide one year limited guarantee with 90 days of telephone support.
If you want support at the time of purchase (installing stuff, help with setup, etc.), you will usually (not guaranteed though) find a higher level of expertise and service at the Genius Bar in an Apple Store, due to Apple's required employee training programs.
Exchanges for the rare minor defects (dead pixels, etc.) are easiest if you buy local.
The product should all be identical if it's a official Apple reseller.