Costco is super reputable. I love love love Costco’s jewelry and have great experience with it.
But it is to my understanding that Costco’s colored stones are treated more often than not. So if you only want a non-treated colored gemstone, you should just make sure to read the fine print to be sure you are aware if what you are purchasing.
Any quack can call their Tanzanite AAA+ because there is no trade standard definition of that color.
You have to grade Tanzanite yourself by looking at it. The more blue it is, the better it is, and the more valuable it is. As more purple gets mixed into the blue, the price decreases. Light purple stones are the most common, and by far the cheapest.
Tanzanite is not normally treated, and you can tell if a deep blue stone is real Tanzanite by looking at it and seeing if you can pick up some purple color thru the pavilion. There will always be some purple in a Tanzanite. The best cutters do a great job of making sure it can't be seen face up.
No reason not to buy from Costco if the color and price are both great.