As someone who was a retail manager when I was younger, this is just not how it works. The retailer would never give you a replacement for a faulty item and allow you to keep the original faulty item. The cost of the replacement is absolutely not "borne by the seller." If you buy something defective from Target and exchange it, Target does not eat the cost of that item. They charge it back to the manufacture. It gets sent back and then Target gets their own money back.
Sideshow is not the manufacture, they are a retailer. They need the heads to send back to Hot Toys for chargeback/inventory purposes. Most likely Hot Toys is giving money to Sideshow to facilitate the exchanges and so SS needs to account for every one of those heads.
The company coming out to fix the desk most likely already also has a delivery/assembly service. It's a built in part of their business.
A desk is not also not a practical thing that is easy for the consumer to return. It's simply not a 1:1 comparison with something where the weight can be measured in ounces.