Well, I bet they return shoes a lot. Not as much as I did (and that was only due to 2 different brands having odd sizes) but I'd not be surprised if half of their orders end up returned.
It's not a hassle at all with Zappos, it's trivial. I'm the kind of guy who would just eat the $50-$100 if it required more than 10 minutes of my time. I've got boxes full of crap to prove that.