First, a disclaimer: I don't speak for Stardock, and the following is my observation only.
Buying the game directly earns the devs more cash up-front. But - only you and they will ever know about it.
However, if more people buy retail, this will encourage stores to stock it in quantities, which will expose the game to a larger audience, which in turn will generate more revenue. Don't underestimate the herd effect ("hey, the store says it sells so fast they can't keep it in stock - it must be great!"), especially after the enthusiasm of the diehard core fans had run its course.
It's more of a long-term goal vs. a short-term goal. I believe the long term goals of retail will probably outweigh the short-term goals of direct cash.
Where did I purchase? Direct, of course

It's not available locally and Stardock's international shipping was lower than other online retailers, plus with the download option I had it after 24 hours (read: 24 hours of struggle, but now it works perfectly). After all is said and done, do what's best for you.