What would you do?

Well it comes down to what you feel is right. I imagine many of us would not like to receive a slightly used bag as new. I expect that is why many places refuse returns these days. It is completely up to you. Good luck.
 
Think the policy for "designer" bags is now 90 days (I could be wrong but think they changed it)
If you only used the bag in your house to see if you liked it then I would exchange it, if you find you are really not going to use it and like the coach.
If you used the bag outside the house, whether or not you took the tags off, it is still a used bag and would not be fair to the next buy who thought they were buying a new bag
But of course within the 90 days Macy's would take it back, as a former manager we are directed to take everything back (absolutely disgusting worn clothes, etc yuck)
 
Well here is the update. My best friend who is a dooney lover decided that she wants to buy the bag from me. I paid $260.00 for it. It was 20% off FF sale. So, she is giving me $200 for it. The bag goes for $325.00. I think thats a fair deal. Everyone gets what they want. So, I can now get the Coach bag I want as long as I get the PCE card for March. Which I usually always do. So I will wait and get the bag I want. My hubby has now sworn off me buying bags. But he always says that.