If a "wholesaler" is selling to you he's not a wholesaler, he's a jeweler. Actual wholesalers don't sell to anyone but jewelers. Blue Nile is fine, but sites like Goodoldgold.com, whiteflash and brian gavin diamonds, among others, offer MUCH better service and much more data about the stone, and often have it to view in person, or can get it that way. Blue Nile is a drop-shipper, which means they don't have the stones in house and can't judge how nice they are or not.
Leon is definitely finicky but it's worth it. And while you might want to spend more on a setting, DO NOT SKIMP ON CUT. Thats why the diamond sparkles. Ideal cut is the way to go. Get an AGS cert or a GIA cert and see it before you just take it.