Against the law? Sounds like a job for Michael Knight & KITT!
What a load of nonsense
As Kragorn has already said, you are not entitled to a refund if you simply change your mind. (refer to the trading standards website for more info)
This will be applicable to me when i open my Christmas present from my dear mother that will no doubt contain a 'Christmas' jumper that even Giles Brandreth would have knocked back
If, however, the game is 'FAULTY' (if you catch my drift...) then you are entitled to a refund or an exchange. Remember, it's not up to you to prove the game is faulty but the responsibility of the retailer to prove that it is not. As you are probably aware most will be quite happy to take your word on this (try it 3 or 4 times over a short period of time of course and they may have a quiet word in your ear etc etc)
And the moral of the story is...always check with the retailer regarding their returns policy at the time of purchase. If you are not happy with this then shop elsewhere. It may take a while, but they will get the message eventually. Also, give the retailer a call and ask to speak to the manager beforehand. This way you can ensure that you will get what you want when you go in.
It still amazes me that certain retailers think they can behave like this when there is so much competition out there.
THE VAST MAJORITY OF CUSTOMERS ARE DECENT, HONEST PEOPLE
(and i still believe that after 14 years in retail!)