As ever, there is never a simple black and white answer to a question like this. There are pro's and con's and it is ultimately down to the purchaser to weigh up all the options and to choose what seems best to them.
For my own part, I have a number of concerns. Firstly is the attraction of a good price. It is not guaranteed that you will get the best possible price at a show, By making enquiries around the country you may find show prices matched or even bettered, BUT you have to factor in the cost of getting your caravan, if it is from a remote dealer.
On top of that, and despite the assurances given, that you can have it serviced at your local dealer, we sometimes hear stories that the local dealers give priority to caravans they have sold over caravan bought elsewhere. This can apply especially at busy times and lead to long waits for services.
On a similar note, the assurances that have been given that your local dealer will handle warranty issues, can also give rise to problems. If the problems are small and relatively easy to remedy, these are usually handled without problems. But the local dealer is not obliged to deal with warranty, and they can legitimately refuse to deal with it. This is simply because the legal warranty always rests with the seller. So if a problem appears to be complex or costlya, you might have to get the caravan returned to the seller.
Manufacturer's Guarantee work is different. If the local deal has signed up to the manufactures scheme then all should be well except that dealers may prioritise their own customers first.