I once filed an A-Z claim (but never followed through) because the seller sent me the wrong edition of a textbook (they sent one of the Instructor's Editions... NOT Teacher Editions). I didn't follow through because the price of the book skyrocketed right after I bought it.
The seller wasn't obligated to send a label then, or at least that is what Amazon said. This was the sticking point for me, since they knowingly sent me the wrong item. Nothing I said or did would get this to change.
If they refuse to send a label, and they knowingly sent you the wrong item, I'd probably contact Amazon, leave some nasty feedback, and refuse to remove it. Amazon is pretty good (apparently... I've had more instances of them telling me pretty much tough shit than actually fixing things) about that sort of stuff.
That said, this was over a year ago and things might have changed. I might have just gotten a shitty book seller, and it might be different for video games. Like I said, I didn't follow through with the A-Z claim, because the weight of the book combined with having to ship it UPS (since that was all that was available on campus) would have cost me $10 to ship it back. I paid $62 for the book, and right after I bought it the prices skyrocketed so it wasn't worth it to send it back, get $50 back, and then turn around and buy a different copy for $100+.