Apple are certainly being disingenuous with their advertising. Sure, gripping any phone causes attenuation.
The intrinsic fault with the iPhone 4 design, however, is actually that you can bridge the antennas with your skin. They're exposed - they're conductive. It's bloody obvious to anybody who has studied basic physics.
Where I live, I only have to touch over the black bar on the bottom left of the phone for it to drop from the 1 or 2 bars that I get to No Service...
Taking it back isn't so simple when you've got so much invested, both time and money, in the general workflow and lifestyle that you've built up in and around iOS. There is also the direct investment in the apps and music that you've purchased.
I also no longer have the 3G that my iPhone 4 replaced...
For me therefore, the phone would not be fit for purpose without a case. As I see it, Apple really had no choice. It would be, in my opinion, wholly unreasonable to expect the cost burden of getting an iPhone 4 to a fit, usable state to be borne out by the customer.