You can effectively exchange a Nike sport band for a Nike sport loop, in an Apple store, provided it is within the 14 day return period.
The way this is done is:
1) the entire watch plus band is returned and credited, then
2) the same watch (i.e. the same serial number) is immediately repurchased with a different band (i.e the Nike sport loop).
I did this. However I cannot guarantee it will work for you too.
It is very doubtful you can exchange for a non-Nike band, as you cannot purchase Item 2) as a combination of Nike watch plus non-Nike band, as this is not a valid combo to purchase in the first place. However you might get lucky, maybe they have some workaround.