Well, I don't say shopping at MD is entirely safe, there are some drawbacks. For instance, I would NEVER buy clothing here,
A) because, of the cheesy, low-quality, trend-oriented, overpriced crap typically offered by the no-rep apparel merchants that frequent the joint and,
B) because as you mention, returns are inconvenient or non-existent.
Recently bought a pair of boots from Amazon and paid about fifty-bucks more than MD was selling them for. Know why?
Because easy returns are cheaper than eating a pair of boots I couldn't wear if they didn't fit well. Know what else?
They didn't fit well and I'm sending them back to Amazon, no-charge and no questions asked.
Moral of the story: buy your headphones from MD and your boots from Amazon ;- )