Why do DVDs purchased at warehouse store, such as Costco, come in the
different packaging (often without security features) than DVDs
purchased elsewhere? Is it in my head or is the DVD case often look
different as well?

This doesn't precisely answer your question, but it provides some
interesting info on the subject of different kinds of DVD packaging:

http://www.clear-vu.com/industrynews.cfm

In my experience, mass merchants, such as Costco, purchase on a
cost-plus basis, with very low margins for the distributor.  Many
distributors thus create a specific edition for these merchants to
reduce their own costs, using cheaper materials and thus increase
their profit margins.

Most distributors make very little, if any profit, when selling to them.

Hope this helps.

Tiggereh