Several years ago, the thought of buying and paying for a guitar sight unseen would be unheard of for many guitarists, but these days things are different, just check out ebays guitar sales to see the evidence!
Shipping instruments is always a risk. As much as we'd like to think that everyone who touches your new instrument while it's being shipped will handle it with as much care as you or we would, it's just not true. Rest assured that todays new guitars do all come packaged for mail order delivery and we very rarely get any reports damage in transit. Bear in mind, the guitar companies ship the guitars all over the world and have developed excellent packaging
The most intimidating concept of buying an instrument online is that you don't get a chance to play the instrument before you've paid for it. Anyone who has sat in a music store, and played various models of the same guitar, knows that quality and feel can vary wildly from instrument to instrument.
Any product made largely from something as unpredictable as wood can have varying degrees of quality. The result of this is you might get your new guitar via the mail, and find that it's not at the level of quality that you'd hoped it would be.
You'll be happy to know that Dolphin Music offers a 14 day return policy to prevent you from being stuck with a guitar you are not happy with.