My experience has been that retailers who offer such policies 1) charge slightly more than other retailers and 2) bet on people buying more than they would without the guarantee, thus increasing their profitability. They know most people won't return. As long as it's been a reasonable time and amount of wear and you don't generally abuse the process with the retailer, I see no issues returning a jacket that doesn't work for you.
Most days in life don't stand out, But life's about those days that will...