I know some stores have a no return policy on gas powered equipment etc. I'd like to exchange this diesel powered heater i just bought for a propane version.
I think if you tell them it's putting out Carbon Monoxide they could take it back -- unless there is a warning on the unit's instructions that state it produces CO.
Do like most do and tell them it doesn't work correctly and you want to return it and then go buy what you want. I don't endorse this but most places don't ask too many questions. They do make fuel for these heaters that is cleaner burning such as kerosene but I still prefer propane or a good vented heater.