Either the store(s) have that policy or someone was misinformed. I believe the only caveat is that they have to follow the same requirements (waiting period, etc.) that you would have to follow in your home state. In other words, if Illinois requires a 48-hour waiting period, the other state would have to also. You should still be able to buy it and have it shipped to a licensed dealer locally...after the Illinois requirements are met.
Never Forget. Never.
Fool people once - Shame on you.
Fool people twice - Shame on us.