The reason is simple.
The majority of iPhones sold in Hong Kong in the early days / weeks after launch are immediately sold to traders who would then smuggle them across the border to China. There is a price premium between the retail price in Hong Kong and the retail price in China, not to mention the enormous demand in China that the supply from official retailers within China can't meet, which may drive up the black market price even more.
This has been happening since the iPhone 4 cycle. Yes. iPhone 4 cycle. 6 years ago. Back when China wasn't even on the initial list of countries where the iPhone was available but Hong Kong usually was. Imagine the supply intended for a city of 7 million trying to meet the demand of a country of 1.3 billion.
By providing a generous return policy in the past, Apple was providing a safety net for those seeking a quick return flipping iPhones. In case the demand from China didn't materialize, as was the case for the past 2 cycles, people trying to flip can return the iPhones to Apple for a full refund, risk free. By eliminating this return policy, then there is now a cost to these quick flipping trades, which is actually a good thing.