Tricky question, Tania! I actually wrote a much longer response than this is going to be, but I think I went overboard on a subject that is a Pet Peeve of mine, so I thought I'd better start again...
DMC USA as a company is a mystery to me. I've tried to penetrate it - to ask them or their representatives things about their threads, their manufacturing, their distribution, their ownership, etc. - but I have found that they are too big a commercial enterprise for us to receive direct, knowledgeable, clear and certain answers from.
As to your question, I cannot say. I think if you asked the company, they would probably deny that they have different "grades" of floss. If they do have different grades, I think the fact would've been known long before now, as they've been supplying big box stores in America for some 20+ years. On the other hand, maybe there's been a recent shift in manufacturing and distribution, and maybe the results are just now being seen. Who knows? Are the EGA folks to whom you refer speculating, or do they know for certain? Is it just their "impression" that the floss feels, looks, or performs differently if they buy it at a LNS or a big box store? It would certainly be interesting to know.
I do know that I prefer to buy my floss from local needlework shops rather than big box stores, because doing so supports the local needlework shop, which helps the needlework industry as a whole. Most local needlework shops will price their floss competitively, supplying the floss as a service to their customers. Frankly, I don't think there are too many local needlework shops left that make any decent profit on DMC threads, because they have to price their threads so competitively to match the big box stores... a marketing blunder on the part of DMC, to say the least, one that unfortunately took its toll on many needlework shops in the US. But let's not open that can of worms....
I do know that certain DMC threads in the US are imported from France (i.e. floche, coton a broder cutwork threads) and these strike me as higher quality needlework threads. I've also heard
that the DMC stranded cotton in France is "nicer" than the DMC stranded cotton in the US. I haven't experienced this latter point myself, as I've not tried DMC stranded cotton from France, so I can't confirm that, either. But I do know that DMC stranded cotton in France is a Whole Lot More Expensive than it is here.
But, what it boils down to as far as your question goes is this: I don't know. But I think it's an interesting question!