We were in Vegas last Fall and rented a car. No big deal. You hop a shuttle bus to the off-site rental car location where all of the major brands have their cars. Some of the no-name brands require you to take another bus, but would never rent from them anyway. Found it all very convenient and you hop a bus to return to the airport when departing. Busses were arriving & departing frequently so there was never a long wait.
I believe Vegas set it up this way a number of years ago to allow more room at the airport for future expansion.