Yes, Rolex does have very strict price control on their products. Authorized dealers are NOT permitted to discount Rolex watches. If they do and discovered, first, they will get a warning, get unfavorable treatment (such as not getting popular items) and then their dealership agreement may be terminated for repeated offense. Rolex does conduct audit of dealers, so this is not am empty threat.
That said.... some dealers will give you 5% or so discount if they must - to make a deal. Apparently, this kind of small discount can be forgiven. If you buy Rolex and something else, the dealer may discount the other item heavily to make the sale.
Otherwise, please don't count on getting a significant discount. Dealer would rather not lose its dealership agreement just make one sale. Please also keep in mind, you'd be wise to insure the watch (home owner's insurance won't cover this), so budget for it accordingly. Don't forget maintenance either. Every 5 to 7 years, it needs to go back to the service center and have it cleaned and adjusted. I think I paid something like $700 last time I sent mine in.