Aphids are funny or I should write "random", one will come along and lay eggs and one plant will be swarming with them while one a few inches away won't have many if any on it yet - if you kill them soon enough.
I don't think you can really draw a conclusion about sprouting your own versus buying from a nursery, aphids are pretty common in the wild, except of course that you have to inspect what you're buying, but I wouldn't avoid buying something with a few aphids on it except for them getting loose in the car on the trip home since a little soapy water will take care of them later. I'd just quarantine the plant till they were under control. Point is, they might have gotten on the plant at the nursery but they can easily find your plants later.
Personally I find they like certain types of peppers more than others. My younger red habaneros with tender leaves seem to be frequently occupied by aphids while other types of peppers right next to them have few to none, though things are equalizing now that the ladybugs have found them.
If you have the space, time and basic *equipment* to do so, I feel you are better off raising your own from seed for other reasons. For example you can start them whenever you like, transplant them into larger containers before the root ball becomes a jumbled mess in the tiny plastic nursery containers they usually come in, and sprout a few more than you need so you can discard the runts or late sprouts in favor of the early healthiest ones.
Toss a few ladybugs in the greenhouse.
