Sorry, it’s not me, it’s you?

Nope Never.

OH yes.  My favorite was getting speakers that in the store I LOVED.  Got them home, loved them on some stuff, hated on others.  Tried ...  Failed. ... Took them back.  Apologized.  Took my cash.  Spent days lamenting--I literally could not live without them (It was exactly like having a lover leave me).  Gathered up my courage and cash, ran back to the store, apologizing profusely, offering to pay extra for their trouble, whatever they wanted, weeping and wailing.  They laughed.  (It was a store that specialized in car audio).  "Two things" they said.  "(1) We want you to be happy.  We really do.   And (2), you know what? we just don't get people like you in here very often, and we find it very amusing."  (Still have those speakers.  A couple of years later, on a whim, I bought a cheap tube amp to replace what I thought was the entry-level hi-end amp/pre that I had bought shortly before those speakers.  The magic returned.   And I wouldn't replace those speakers for any amount of money.  It was actually quite alarming to find myself as involved in a piece of material as I was with those.

I don't think the OP made a mistake at all, they took advantage of a return policy and got to demo a set of speakers through the break in period, and returned them after being unsatisfied with them.  Nothing ventured nothing gained.

At least you don't take years to research and ponder, while listening to whatever drove you to better your listening for those same years, like someone else on here does.  Bravo for being proactive.

Flatblackround, needlebrush- how can you bash “Ike” (I know everything) MC? There are quite a few people calling him IKE for his recent posts. Justifiable, yes

I have. Bought an integrated amp from a very well-known manufacturer who was testing having this product made in China instead of the USA. Low cost (for the make), still a fairly high cost for me. Big mistake. Never liked the sound. Tried for a year or two. Never put a smile on my face. Sold it here to another 'goner and he reported he loved it. I was very glad to hear that, but never could understand why it just didn't sound good to me.
And again...bought some speakers that got very good reviews. Was so happy when they showed up. After several years they got relegated to the bedroom system that my wife listens to and doesn't hesitate to tell me she likes them better than the ones in my system in my dedicated room.
Just thought of another pair of speakers that never sounded good to me.
Oh snap! Just remembered another integrated that didn't sound good either.
Thereare probably others...
Good news is I am completely happy with my current system. 
Even though it is a very simple system (just a CDP for the only source), it sounds wonderful to me. Best sounding room and system I've ever had in 45 years of interest in this hobby.

Tom