Says who? Let me repeat, I've done this a couple of times with a couple of software titles.
And if steam decided to take away your account and all your games you would have a similar right to issue a chargeback for ALL THE GAMES.
The key is to be polite, explain that the reason you are returning the game or issuing a charge back is because it's defective and does not work AND YOU'VE TALKED TO SUPPORT. Make sure you're speaking to a manager (or someone with decision making power), document everything, and if there's any push back mention your states attorney general.
You'll get your money back, and they'll say "right away sir"