The 20 lb propane tanks are designed to accomdate 20% expansion when filled with 20 lbs, so there is no reason to underfill your 20 lb tank. In other words, 20 lbs of propane fills the tank to 80% of it's volume, allowing 20% for expansion.
Blue Rhino uses their own proprietary valves, so that you cannot have the tanks filled elsewhere. Then they only fill 15 lbs and charge you a flat rate based on a full tank. If you are willing to trade convenience for a higher cost and a partially empty tank, then I guess it's not a scam (?).
Here's a great write up addressing both issues, and a bunch of other good info about propane.
http://www.elivermore.com/propane.htm
Cheers!