If you choose to service your vehicle elsewhere, just make sure to keep all records and make sure all the service records show the date and mileage as well as what oil and filter type you are using. This covers you in case you have any engine issues during the warranty period. I have spoken to a few Cadillac dealer service managers and they have said that GM will deny any engine warranty claims if you can't show service records. Lack of service records will indicate that you didn't change the oil which in turn becomes an owner neglect issue. I have personally seen vehicles at the dealer service departments where Cadillac has denied oil related engine failures due to the fact that the vehicle owners can't provide service records.
I would use regular Mobil 1 AFE 0W20 and change it out according to what the engine oil monitor indicates. Mobil 1 Extended Performance will go longer over what the oil life monitor shows and you want service records showing you changed the oil every 7,500 miles, not every 15K miles. Again, this is in case any warranty issues arise. You can even buy the oil and filter and give it to your Cadillac dealer and tell them to use it instead of the GM oil and filter. I would recommend the Fram Ultra XG 10575 oil filter if you are going to run the Mobil 1 EP oil. Mobil 1 oil filters are ok, but they aren't rated as high as the Fram Ultra filters. You can get a Fram Ultra oil filter cheaper than a Mobil 1 oil filter at Walmart. Fram Ultra filters are rated at 15K miles, so it is a perfect combo with the Mobil 1 EP.
I am going to let my Cadillac dealer change the oil and rotate the tires every 7,500 miles. That is the typical interval on the Escalade. If you change your oil every 15K miles, make sure to rotate the tires every 7,500 miles.