Answering in general, not specific to OP's present:
Yes it is rude to return the present because you don't like it. Just donate it, give it to somebody who likes it, etc.
However (I can see some of you rolling your eyes : ) ), I can see why it might happen or not be well received
1. When present are passive aggressive jabs, such as a piece of clothing 3 sizes too big or small and the giver knows your size, a diet book for an overweight person, etc., a bottle of wine giver knows receiver hates but it is giver's favourites, etc.
2. A present giver was requested NOT to get. For example, the parents want to give the child a bike, giver knows it and gives that present to child.
3. Presents that one up the other person. For example, parents want to buy a certain toy for their child but the giver borrows that idea and buys the most expensive toy that can be found, stealing the thunder of the parents
4. Presents with strings attached- giver thinks receiver owes them something in exchange of the present
5. Present given with conditions: "this money is yours to go to college as long as your chosen major is X, Y or Z"
6. Presents with a purpose for the giver: how many men give lingerie to the women as presents, when the present is more for him than for her?
7. Receiver knows the giver gets mad if present is not used, giver keeps track of present: "I don't see the picture frame I gave you for your birthday, where have you put it?"
I understand those 7 examples are very rare but they do happen.