just how much truth can I expect?

So I was in the coin shop again, and I saw a small gold coin that I asked to look at closer. (I don't have any gold in my collection yet, btw.) Looking closely at it, I realized it was a 2003 mint piece, in a square red shell and a COA from a third party. I asked what the point was of a COA from someone other than the maker of the coin, and the shop guy told me that unless a coin has its COA it gets a lower price, and on newer sets, the shop refuses to buy Proof or Mint sets that should have COA with them.

Personally, I don't know if I care for the COA on a coin that I buy, especially if it is graded by NGC or PCGS.

I think my question really is, does the COA really matter, and how can it have relevance if it has no real way to be tied to the individual coin? Does anyone trying to put together a top set really need the COAs for the coins to show it really is a US coin set?