I agree. I'm not quite sure what the point of shipping a CD/DVD set with only a serial key but leaving the content to be retrieved from the server. The game client already authenticates with battle.net in order to combat single player piracy. The whole point of an on-line distribution model is to eliminate physical distribution and retail overhead and the whole point of still having physical retail distribution is to reduce bandwidth consumption for both the users and game developer's servers. It saves them no money to not include the majority of the game content with the retail package.
This model literally takes the worst of both but gains hardly any of the benefits of either.