I wouldn't worry about sending it back. Just as long as the cds are not scratched and playable. Sometimes things do happen in shipping and it is out of your control. These are the risk we take when buying from others. I hope you like playing the sound track though.
If everything worked as it should, I wouldn't send anything back. Like you said, it would've been expensive to ship back and there might have been problems with the seller receiving the items back. It would be too much of a hassle. However, I would leave a bad review, if possible, and explain in details for future buyers. That way, those future buyers would be weary of the seller just in case this is a usual thing for the seller to pull. The packaging for such items is unacceptable too.
Personally as it was a case, those things get broken easily and could have happened in transit even if it was well packed. As a result you would have to 'prove' to the owner that you didn't do it, after all if he sent it in perfect condition, who is to say you are not trying to pull a fast one? I would message the owner and see a response and then maybe ask for half the shipping costs back if they admit it was their fault. If it happened in transit, then insurance covers it if you paid for it.
It really depends on the cost of shipping to return it. In my opinion the seller should cover it since you received a damaged product. Considering you would have to pay for it I would just keep it if the price is too high.
I am also not very fond of returns. I just cannot be bothered with the hassle of it all most of the time, but if the product that I have ordered is in such terrible condition that I feel like I can't be at peace with it for the money that I paid for it? Then all bets are off, and I will go to the trouble of either getting my money back or exchanging my product for something else.
We bought a garden hose that doesn't connect very well to the faucet so there is a leak. My husband found out that there is a piece lacking, a rubber gasket. And since returning the item is free (although we had to bring it to the courier's office) we did return. And when it came back, it is the same, no additional part. They just said the product is good even if it's not. My husband just made a rubber gasket so it can be used. In your case, if the game is intact and only the packaging is damaged, I guess you just save yourself from the hassle of returning. Just charge it to experience... in online shopping.