Returning purchase to a high end store.

No, there's nothing "embarassing" about it - as long as the product is returned within the store policy return date limit, in its original condition, along with a receipt, there should be no problem.
 
I am never embarassed to return any item from a store (high end or not). If anything, I might be impatient about the inconvenience of it all---having to find the receipt; making sure I meet their return policy rules; planning a day to go; tolerating a long driving commute; waiting in a crowded line and ocassionally getting a SA who is either clueless or unhappy about processing returns.
 
If you don't like them, don't feel bad returning them. The SA's know that not everyone will be happy with their purchases and you definately shouldn't feel embarassed.