It depends how far authorities are willing to go to catch him. It can't be that difficult to find his real name and location with help from this forum's admins and cross reference it with all the returns-with-no-receipts for a specific game at the local WM locations. Once those records are found, they can cross reference the date and time for the returns with footage from their security cameras to obtain further proof with a pic and video of the crime in action. If I remember correctly, returns with no receipt usually require a photo ID, usually a driver's license, with the person's current address. That can be used to find where he or she lives. Using that and a little more info, I'm sure they can find out when and where the title(s) were purchased at KMart. From there, it can't be too difficult for lawyers to establish a connection. Sadly, WM likely won't pursue people like that because it was cost them too much time and money. Just saying.
edit: Wished I jumped on this deal sooner. I wanted FFXIII, but they were sold out at my location. :(
No, but if a person goes in and returns a game here or there without a receipt they won't. Most people just say they got it as a gift and they already have it. Then Walmart gives them instore credit. The person might tip them off if he makes a big deal about wanting cash, but a person just receiving the store credit to use in their store isn't going to tip them off. Because chances are they'll sell the game again, especially if it's a relatively new title.
It's still fraud, but anyone who's going to try it with like 10 of the same copies deserves to get in trouble. But the small time person who only does one copy like once a year isn't going to get in trouble. It's just a dishonest thing to do.