I'm very careful with my purchases, I even go to the extend of maintaining and keeping a makeup journal in my bag so I can prioritise makeup purchases; so I can test and retest internet and mag recs for *myself*; and so to give me the freedom of purchasing without the fear of doubling up. I am a thoughful consumer whenever possible.
However, there is also a lot of makeup where testers do not exist such as drugstore brands (maybelline is becoming really annoying lately with no testers for the majority of their products). Yet another possibility is when you have another person apply it for you which can completely change the outcome, specifically masaras. I always tripple layer my mascara, to test one out properly means 6 disposable spoolies and fighting off an MA - not worth it and often not possible and I really doubt that ALL testers don't ever double dip.
That stated, If I return something either because it's my error, or the error of the MA, I do it guilt free because I know that each of these products costs the cosmetic companies no more than a few cents. Just because I'm prepared to pay $20 on an eyeshadow, it doesn't mean that the real worth of the shadow is $20. I'm not going to pull myself down over a few cents, life already serves me with so many issues and emotions to deal with, makeup is not going to be added to this long list.