They do,
My uncle tryes this for me when I was kid when my Sega Genesis broke

I'm pretry sure they just scan the serial number on the box and not the console it self just make sure it's cleaned and doesn't look to beat up because they will defiantly open the box to make sure all pieces are there I worked at Walmart when I was younger and did the returns but either way throw a big enough fit about it and manager will come and pretty much suck your dick

Lol yeah. And like I said at worst, just try a different store.
I've done this a couple times before for controllers.