In any event, you'll probably save a few bucks. After all, when you buy a bike in the States, it has been shipped from Italy, and that incurs costs. So depending on the dollar versus the Euro, you may save 20 to 30 percent. And while you may have to pay some duty on it when it comes into the States, that shouldn't come anywhere near to sopping up those savings. As for where you'll buy it, it would be fun to tour the factory, but I don't know if Colnago or other makers have retail outlets. Besides, that would be frame only, so you wouldn't be able to ride it. But there are plenty of good bike shops that will help you out. And language is no barrier - just know your size, have a rough idea of what frames or built-up bikes cost here, and be ready to convert currency.
That said, the fact is that the U.S. has become an absolute hotbed of top-end frame making and finish. Don't overlook the idea of getting an Erickson or some other U.S.-made bike. That would be a true custom bike, specifically for you - the Italians are all off-the-shelf.