Not usually. You have to go to the box office for the actual show. If you played at a high level, a host could probably arrange it, so for some of the high rollers it's probably a different situation.
If you purchased direct from the hotel ie thru their website, you can pick up from any MGM box office. If you bought thru a discounter like Tix4Tonight, you have to redeem at the the box office for the applicable show only.
If you are staying at the MGM grand you can pick it up at the Concierge desk next to the check-in desks. I picked up some tickets for the brad garrett club there and they told me that they could get me tickets to shows at any of the mgm properties.
Yep. Two years ago we were asked if we wanted our KA tickets while picking up tickets for Love at the Mirage. Knowing this, last year we picked up Zumanity tickets at Mirage since we were staying at Venetian across the way.
This trip we plan on picking up our Cirque tickets from Excalibur since we are stopping there first to meet some friends. Might as well kill two birds with one stone.