In various forums people talk about returning components that aren't actually faulty but don't work well in their system e.g. additional memory sticks that cause instability, or component that aren't recognized by a particular motherboard or don't perform well.
OTOH all the online retailers I've looked at (in the UK) have returns policies that state that unwanted items must be returned unopened.
You may still be able to return it, but here in Canada at least... if one returns an unwanted item that has been opened, the company generally returns only 85% of the purchase price (the other 15% is charged as a 'restocking fee').
If you're curious, contact the company in question and verify before making your purchase.