But this doesn't apply to things sent to you by mistake, which certainly seems to be the case here. You are expected to return the good to the sender at their expense. Although you are expected to facilitate returning it, I doubt any court would look favourably on a company taking you to court for failing to jump through their hoops.
Obviously I'd have preferred to keep it if they'd let me, but if they hadn't freaked me out with talk of legal action and been happy to say something to the effect of get it back to us within (e.g.) 30 days, I could've organised to post it at a weekend I wasn't working.
I couldn't include everything in the whole exchange in the article, but they did suggest collecting it from a place of work - but I don't have one, just my client's site, which isn't an option for that, which was explained.
In any case the courier has now collected the Switch, so at least I should be able to put it behind me.
If not, write them a letter, send by recorded delivery, and state that the item was collected and that this is the end of the matter.
They're almost certainly incompetent rather than malicious, so if there's another screw up you can refer them to the letter and then ignore any further correspondence.