I’ve heard of this in the past. Usually the shop will sell to you without a license if you’re affiliated with an HVAC company, because you might be some unlicensed peon picking up parts for the installer or technician down the road. But they often have no way to verify whether you’re a HVAC person for things that don’t require a license vs some clued in homeowner, so you can give them a made up LLC name and say you want a cash account. It takes a fair bit of confidence to pull this off though. Easier and cheaper to order off of Amazon usually anyway

FWIW there are some things that DO require licensing. Purchasing refrigerant requires an EPA number. Almost no shop will sell you full on ready to install systems without a contractors license. But off the shelf components like this don’t require one and they have unlicensed helpers coming in all the time buying stuff, so confidently pretending you’re one of those is usually enough in a pinch.