Ordering from HobbyKing or many of the other cheap deal companies ( even those here in the USA ) has always been a bit of a gamble. The reason their prices are so low is typically because the quality control doesn't exist and customer support is often almost non-existant. The majority of the time you will probably get a working product but when you don't... getting an exchange will take a lot of time or as mentioned, shipping will exceed the cost of just replacing it with another order.
Don't get me wrong... some of the products they carry are ok when they work... For example at HK... the Plush series, the Mystery as well as the HK BlueSeries ESCs are actually rebranded HobbyWing ESC's which are a respectable product. Others are as Tony mentioned... not worth your trouble. In Radio TX's... the Turnigy 9X is popular, it is actually a rebranded FrSky transmitter and many people use them... The trouble with them is you may or may not get a good working unit... if they work, I hear good reviews in general though. Their motors have a very spotty reputation as do their servos... some are fair but there are a lot of failures reported as well.
Now on the subject of LHS's and sourcing from quality hobbyshops in general. Yes you will pay more... good customer support comes with an added cost. Buying from a LHS probably has the highest mark up because they don't deal in high volumes and they will often provide an "over the counter swap" on defective items. In addition, you can usually walk into a LHS and get most of your questions answered, all of this does add up to higher costs but it is nice to have those services. So check out your LHS and see if they are helpful or not ( not all are good ), if they seem to be good... use them when you can you won't regret it and then you'll have a source to go quickly pick up a part if you need it immediately... if you don't, they will go out of business and that will limit your choices.
Buy quality components over the more economical ones... Tony and I'll go round and round on this subject much of the time, but I feel that staying with top brands often has many advantages such as you just know it will work and if there is a problem... the company will stand behind it...
The Align servo's that were mentioned are actually a rebranded Savox SH-1357 .... fyi. I see a lot of people have ok results with the MG90s but I also hear later that they develop a lot of slop over time and they don't always center as well as higher quality brands will. The reason they develop slop is because they don't use a top bearing, they just use the nylon case for a bearing. The reason they have centering issues is from the cheaper quality potentiameter... sometimes they are ok, sometimes they aren't.
Quality servo's will always have decent quality pot's in them... this is why you don't hear about centering issues with them like you do on cheaper ones. Even the higher quality servo's can develop slop in them if they aren't using a top bearing... An excellent example would be the Hitec HS-55's vs the HS-45HB's.... the 45's have a bearing and the 55's don't. So if the servo is going to work hard... make certain it has a top bearing. If accuracy is important, stay with a quality brand so you know it has a good quality pot in it.
Motors are another area that is highly debated. Cheap motors are often will have over rated specs... they will claim to provide more watts at higher amp ratings than they are really built for. This results in them burning out sooner than what a good one will. Cheaper motors often have shafts that are using softer metals so they bend easier, their bearings are not top notch ( decreasing efficiency and increasing heat issues ) and will have a lower power to weight ratio than a good quality motor.
Using a heavier motor will also have an impact on the flight performance of the model... Weight is a big factor in heli's but also plays an important role in airplanes... Both fly more finicky when they are heavier than when they are lighter. A decrease/increase in model weight will also affect the flight time you have for a particular battery.