Personally I don't think your question has anything to do with whether it is a mystery shop or not. If you feel it would be okay to use something and then return it for no other reason than that you can get away with it, then by all means use it if it is not spelled out in the mystery shop guidelines.
If you feel like some others do that it would be wrong to use something you are not intending to keep in the first place, whether a mystery shop or not, you have your answer.
I err on the side of ethics...if we are speaking of ethics, no it is not ethical to use it and then return it. If you don't care about ethics then you have your choice.
I will be thanking you the next time I purchase a new item off the clearance table. But, I am never happy when I think of all the waste in this world and the extra cost to all of us when prices are marked up in stores due to people taking more than their share of advantage of lenient return policies.
On another note, I have never seen an instruction in a mystery shop saying it is okay or not okay to use the item first that you are returning. I believe the msc think this must be obvious to the shoppers so they have not addressed that issue. So, if you use it in the future there might be another paragraph of instructions we need to read to explain about this. We have enough reading of instructions already.