First, let me state that I am only speaking from a purely personal opinion here...
I would never bother using protein from Costco. For the same reason I don't get my creatine at Wal-Mart or buy CVS brand EFA caps. They may be fine, but I would have no real confidence in them. To me, there is hardly a inkling of a reason to buy supps from places like this. You can get by on the cheap using some 'real' names if you want, or you can simply bite the bullet and get better quality, or product you can at least be confident in being good quality, by paying a reasonable price.
Like I said, its just my personal feeling.
My dad was once a top-notch golfer and frequently said that the best clubs for you were the ones you had confidence in, rather than any given name-brand. I'm sure Tiger Woods could dust most people on the course using $79.95 K-Mart clubs, but for me, they just wouldn't 'feel' right in my hand and I'm sure my score would drop considerably the second I put those clubs in my bag.
I work too hard in the gym to not believe that my supplement choices are quality and will help me. If you don't have this hang-up (?) and you can feel good about using Wal-Mart this and Costco that... then more power to ya!