tdw, you can specify that sets must be returned unopened and eBay will back you on that. Kids aren't going to wait to rip into their LEGO until Mom or Dad finds a sale after Christmas.
The return bogeyman is nothing to be afraid of. A certain number of returns will happen, but most people are too honest, too lazy, or, most of all, just plain don't care enough to pull sparkly shenanigans with returns. The few who are a problem are a cost of doing business that can be added to all your other costs and split amongst all your customers.
Any time you and your competitors are dealing with the same challenges, you have the opportunity to do as well as or better than they do, it just depends on your smarts and your willingness to find the best way. Its only when your competitors gain an actual advantage over you that you have to worry and pedal faster or think a lot harder or find a way to get an advantage over them.
eBay is a level playing field among like sellers - the diamond sellers like TRU have their type of challenges, the top rated plus sellers another type, the riff raff yet another.