Was the HD not detected as the primary (boot) HD, or could you not even recognize it as a secondary? If you can't get the HD to recognize at all, in any way possible, even through an external enclosure, then returning it is fine. The store will just ship it back to the manufacture, they will "fix" it and ship it back, and the store will sell it refurbished. I wouldn't worry about your data, cause I'm sure the manufacture gets enough returned HDs that they are more focused (or have a quicker process) on fixing them and sending them out.