That is the policy where I work as well. The problem is that the software is essentially transfered from the disk to the computer. So, with the ability to return opened software, customers would purchase, install, then return everything. If there was some other way to sell software (i.e. some sort of guarantee that the software was uninstalled and in most cases that the key would not be used again), then I'm sure the policy would be different. DVDs share a similar problem. Burning DVDs is common practice, and it would be bad for business if we allowed customers to buy, burn, then return every DVD in the store.
I've always felt that we could remedy this by keeping track of who returns software (e.g. Driver's License info), and bar certain "repeat returners" from ever returning again. I mean, we already have similar practices on other items, but the "no more returns" threshold is way too high, in my opinion.
On the other hand, when a TV is returned, I know (with almost absolute certainty) that the person didn't make a copy of the TV.