I also think it depends on who your sales person is, because when I lived in NYC I did this a couple of times because Bloomingdales was closer than the freestanding, etc etc, and I was never denied an exchange, although they once did say "We're not supposed to, but since it's the wrong color I'll do it". It's been 1 1/2 yrs since I lived there though, and at least at Nordies, I've noticed they've somewhat gotten stricter on exchanges, although my sister over Christmas exchanged a lipglass at Nordies that had come from a freestanding w/ no problem. So yea, it really depends I think on who it is and how you word your exchange.
On a side note, the freestanding store will not exchange things from Nordies, Bloomies, etc. They have all your purchases in a computer and can look u up to make sure you bought it there.