The products I see with a plea like this tend to be difficult to set up or use for some reason or other. I always assumed that they have a higher than usual return rate and are trying to reduce that by asking people to call them for support.
Also, I imagine the number of returns a product gets factors into whether stores want to carry it, so reducing that return rate can be important.
Even if the manufacturer refunds/replaces the item, I can see it being better for the manufacturer in some instances. If they are relying on store prominence instead of brand recognition, it's very important that stores want to actually carry those items, and low overhead return could factor into that.
