I've had this exact experience. A car seat I returned was "lost" when I shipped it back. It took me 6 months to get a refund, and it was only because I pinged an exec there and he facilitated the refund.
Front line phone customer support was useless in a Kafka-esque manner. I didn't think it was nefarious, but as much as I want competition for Amazon, the thought of buying from Walmart makes me feel like it's going to be a painful ordeal.