I've seen the same thing with some products at the local Cabela's. With some items they will honor the online sale price and with other items they won't. I guess that they don't want folks to clear off the shelves.

I can understand that the local stores have huge overhead: wages, utilities including heat & air conditioning, local property taxes, state business taxes, liability insurance, property maintenance and then rent, lease or mortgage costs.

I sometimes wonder how some of these sporting goods stores can stay in business, especially with the economy the way it is. Just think about how much it costs just to heat a huge store in the winter!

Cabela's does allow free shipping to their stores but I don't know if they would discount the hazmat fees or not. That's something to check on since I think those items arrive on company trucks.
But they do also have a Rewards Club program that earns cash points with every Cabela's purchase, and a Cabela's credit card that earns a higher percentage of cash points, and for all purchases anywhere, and they send additional discount coupons just for signing up for their online notifications.
So there are discounts available for company loyalty.
Yes, finding the cheapest prices are a hassle and like buying gasoline, sometimes there's not much of any real difference in prices between retailers in the end, especially after shipping.
One option is to split hazmat fees with someone else on a large combined order.
Powder Valley will ship 48 pounds of primers and powder for one hazmat fee. But that's only allowed when ordering sub powders and doesn't include black powder which AFAIK needs to be shipped separately.