No.
Most GWPs, regardless of brand, are specifically manufactured, packaged and distributed as GWPs, with most even saying something about not for individual sale or words to that effect, right on the package to prevent people from selling them individually, although of course we have all seen it done on eBay, and if you are like me, you may have even bought some.**
Obviously, if you have opened and used the GWP even once, it is not like the store would benefit from you returning it. They can't resell it, and if any of the employees want one for themselves, they can just get one that hasn't been opened.
Now if the GWP did something like make you break out, or had a dead mouse or something in it, then yes, you should return it so that the company, if they are interested, can look into it and see if it is something going on that has the potential to cost them money.
**(I have only done that from sellers who are up front about it being a GWP, and only because before I upgraded to Milani Runway Looks Purple, Lancome Drama was my everyday eyeshadow, and buying the GWPs on eBay, even with shipping, was way cheaper because I would get the person to let me get like 6 of them for a dollar something each and combine shipping)