No, no. You do not have to drop it off at the store. It is an option. The first month they make you have the store drop off/exchange. You do not need to use it though, just send it back like Netflix. Just before your next billing cycle threaten to cancel and it will give you pricing models without the store drop off/exchange.
Right now they are doing a free month trial. Give it a shot try a game or two. Don't like it, cancel.