You could surely hide it easily enough in the cardboard? Just wrap it over in parcel tape. The people at the other end will just assume you went a bit overboard in packing.
I think it's safe to assume that the returned item gets taken out of the box that you ship it back to them in, which is then discarded (along with the taped-on tracking device).
this sounds like someone who isn’t thinking about all the edge cases for nuts returning stuff. i would not be surprised if there was a protocol in place for screening against all kinds of things (with emf being the small potatoes)