HI:
The dust bag should not be a major issue for the store to provide.....I know when I purchase at the stores(Neiman-Marcus, Nordstroms, Saks, Barney's, etc), if the bag is missing, the sales person simply goes to the back room and comes out with multiple bags and places them in the box while they are doing the transaction.....it seems they keep spares in the back quite often.....I have even gone back after purchase(when I forgot to ask about the whereabouts of the storage bag) and they simply hand me two, no questions asked...I guess this is different from your case since you are purchasing on-line and you cannot identify a sales person....but usually when purchasing on-line, there is some indication in the packaging as to who put your order together.....perhaps, include that person's name with you letter of complaint.....anyway, the storage bags seems not to be a major issue to these stores.....I think they are given extras by the designer's distributors just in case they get misplaced or missing.....
At any rate, I would not return the shoes simply because the storage bag or extra heel tips are missing....too hard to find your size....I have also found that even if the size is correct, the fit from one pair to another pair may be slighty different, so if it fits and is comfy, keep the shoes and deal with the bag separately...don't let the shoes go if they are your size and fit well...just my opinion