http://www.rolexforums.com/showthread.php?t=144592
Well, technically you may be denied service; however, most will say Dallas is more forgiving than NYC service center.
Also, you must consider that the vast majority of Rolexes won't need warranty service (it's only for two years - they last decades).
Lastly, after that two year period, Rolex will service any watch for their usual fee regardless of where you got it.