Long time lurker, but had to register and hop on for this particular thread. I'm expecting to take delivery of an X soon and was pondering a similar pick-up situation. I am located on Long Island, NY and contact my local delivery specialist about doing a factory pick-up and then doing an epic cross country road trip with the MX.
The rep informed me that because I was leasing, this would not be possible and if I wanted to do a factory pick-up I would need a California address, and incur significantly higher taxes. I tried pushing back a little for some clarifying information as I didn't believe this to be true (the address bit, I understand the taxes portion) but pretty much got no real answer. Eventually, I acquiesced and decided to just go ahead with my normal plans of a NY delivery.
Anyways, I say this not to dissuade you but rather to find out if this actually works out for you because then it would give me a bit of hope that I can wrangle my way into a similar situation.