You are correct. You would get the warning about the SN being non-existent in inventory. And rightfully so, but that won't stop you from creating the SO with the "non-existent" SN filled in. The inventory will be created when the build is executed using the same SN. Further, it will transfer from the SO to the Invoice automatically when the Invoice is created. I just tried this on our system and it works.

So, back to the original post. Let's say Mr. RKN creates a Sales Order with line item Widget A and assigns SN 1234. Then RKN builds the assembly (in QB) with the same SN (1234). A copy of the built Assembly is then sent to the Assembly/Shipping Dept. to be physically assembled/built. The Assembly/Shipping Dept. then searches for the SN 1234 via the Find form. (I am assuming that the Assembly/Shipping Dept. has direct access to the QB file.) Lo and behold, the original SO appears in the results. Double-clicking on the SO will open the SO and reveal all the customer information including the shipping address. :)

Edit: OK. So I think I have may proven the method, but Occam's razor would suggest a simpler solution. Just send the shipping dept. a copy of the Sales Order.