Seriously do you think you shopping at a higher class store such as a Walmart?
But on a serious note. Most stores return/exchange policy require that you keep all of the tags, packaging, instrutions, accessories to be able to return it. Yes even if it is defective. Now would they go to the level of having to keep some plastic wrapper..depending on exactly what this plastic wrap is probably not.
But again exactly where do you think you are shopping?