Hi Melissa-
The Rainbow people are telling you this for one very specific reason- they do not make nearly as much money on the Sunray, after they have to pay 2 guys to install it, as they do other Rainbow sets.
Keep in mind- the reason there are a "billion little pieces" (not really, but there are a lot of parts) is because the Sunray is a boxed kit. When you purchase a larger, more expensive Rainbow set, the reason the parts are preassembled as you mentioned is that the installers are picking up these preassembled pieces from a warehouse- it has nothing to do with safety.
I have installed a more than a few of the 2008 Sunray Premium Playgrounds, and can honestly tell you- from someone that does not work for, or have any affiliation with Costco, Sunray or Rainbow- the Sunray is a fantastic set for the money, and a very sturdy one at that.
Oh- the real reason the "installers" downplay the Sunray at Rainbow? It's not easy to install, and takes attention to detail. For them, this means the average Rainbow swingset they install that takes 4-5 hours will be a lot longer with the Sunray.
By the way- before the Rainbow sets you/I/they mentioned are assembled at the warehouses, those sets are also in a "billion little pieces" at birth.