Well, the fun thing about Gander is that the guy at the counter (no matter how nice/helpful he is) won't remember you and your 9mm rifle next week. That's assuming that he/she is there, even.
Now, buying from a local shop, you have a chance of getting a much better deal, and probably can point out that you'll be back for ammo once in a while and would prefer not to have to go through the "show them the carbine, prove that it really does take 9mm, etc etc" thing every time.
Personally, I think it is a stupid and unenforceable law, but arguing with some minimum-wage counter-guy at WalMart is not going to solve the problem, while bringing your carbine into WM or a franchise/chain shop might cause some amusing panic (amusing to ME, because I'll just be reading about it). Generally, when prices are equal or close to it, I buy whatever I can from local shops, particularly the ones that offer a cash discount or are willing to make a deal. Not to say I don't get ammo from WalMart, I buy it cheap and stack it deep when I can ... but I wouldn't put up with any hassle to shop WM, in fact I'm about fed up with the counter guy always trying to drag me into an "obama's gonna take our guns and then take our jerbs!" conversation.