Just make sure you don't damage the unit or get a stain on it. We bought a water protectant cover for any that we tried. We also took pictures day of delivery and after setup. But we didn't end up needing those for anything.
If you have patience, it's not terrible. But it's still not a fun process.
If I remember correctly we had to sleep on it for 30 days before we could initiate a return. We called them up, gave them our order number and a reason for not wanting the unit and they arranged for someone to come pick it up. You do not have to get it back in the box they send. That'd be impossible.
Oh and the returns don't cover any accessories you get with the mattress. A lot of these beds require a platform bedframe. We bought a 3rd party platform frame that we liked instead of the one that the mattress company offered.
My guess is they're banking on you thinking it's too much of a hassle and so you won't bother with the logistics.