Risk with newegg? Gimme a break.
Man, I soooo do not see the problem here.
What is so terrible about them simply asking you to follow the terms and conditions that YOU agreed to by buying from them? And as someone else said, you will be lucky if they even take it back, now that you have screwed with it by smearing stuff all over the RAM. You needed to make a choice: try to fix it OR send it back. You no doubt voided the warrenty on the card in trying to fix it.
Newegg will probably refund the money anyway. But they will not refund shipping, whether or not you think that's "right," because they are under no legal obligation to do so. In fact, your surprise that they wouldn't leads me to believe you never read the terms of agreement. For someone who claims to be cautious about buying online, that seems a little funny...
Yeah, it's a bummer whatever way you look at it. But stuff like this happens, just like if you buy a sweater from a catalog it might be the wrong size. Blaming newegg is pointless and irrational. No one is to blame here. The card was probably a lemon. You got stuck with it, just as anyone could have. It's a risk anyone takes when buying anything, not just computer hardware, and not just from an online vendor. That's how things work.
No one here works for newegg. But we support newegg because they support us by giving us the best deals and the best service out there. Period.