Just got off the phone. I have to return the strap AND watch. She recommended I visit an apple store (1hour away and no guarantee of stock). She also said I'll have to return the whole watch and strap at the store as well. So not sure why some folks have had success just exchanging the strap.
well they did actually make me return both, they just sold me the same watch again. which caused all sorts of problems - my trade-in was cancelled and the package was already on its way back to apple.