I was able to boot once and factory reset the phone. So, no private info stayed.
About returning the original phone, the answer is yes. They send you an envelope to return it. If they don't get it back, they will suspend your service.
Honestly, I was hoping to be the only one with the problem 'cause this is a very good phone. Seeing more people with the same issue indicates that this is a manufacturing defect on at least this batch. My recommendation, be very gentle!