Your not covered under warranty because the warranty is through Shimono north America or shimano USA- you bought from a uk distributor. If you brought your bike to Denmark and put in a warranty claim, anything from Minnesota would rely on the company feeling nice. For $20 on a couple of hundred it's worth it to buy local,but for bigger price differences, it's the same reason amazon and Wal-Mart are killing mom and pops- the same product for far cheaper with less service is a worthwhile trade off for most people
I didn't submit it here in the States - I sent it back with a coworker that's in the UK and they still denied it when he submitted the claim so now I have a $200 front derailleur that doesn't work with my Di2 shifters. Wiggle is selling OEM components that come in completes, which isn't allowed in NA and isn't covered by Shimano. Honestly, you aren't saving much on a full groupset going with Wiggle over a local shop unless you have a full mechanics setup and know how to do the work yourself. If I'm spending $5K on bike (what I spent on my touring rig) I'd much rather have one of the guys I know and trust put it together and work to get things warrantied than save $200 or so bucks buying components from Wiggle and Amazon and then having to ask them to install them.
You're only replacing groupsets maybe once every 5,000 miles so I don't see any utility in saving a few bucks when it's the things you can't buy online (service, warranty issues) that your local shop offers. Again, if you're a good enough bike mechanic and have all of the tools at your disposal, you might think otherwise, but trust me things come up that only someone that works on bikes day-in and day-out would know. But you seem to have all the answers.