No reason to feel guilty, though I do understand the temptation. The three shops I use all are owned by guys I've known for 10 years or more, so there's an element of friendship there, too. When I bought my Atlantis, I told them what I was looking for, but none of them seemed interested in trying to find a bike that suited me. I bought the one I wanted, and have ridden it by all the shops to pick up small things or just say hello. Retail owners have to realize they can't win them all.
I do buy most of my tubes, bar tape and small accessories locally. It helps the shops a little, and it keeps me in their minds as a regular customer if I have a Friday-night emergency or something.