I'm so cheap I'd definitely return it. But I suppose that also depends on what manner of data you are storing. I don't personally have anything that would interest anybody so much that they would go through the trouble of stealing it from a broken drive (I hear that's a highly expensive service if you buy it from a specialist). A couple of years ago I did return a 35 months old HD that caught fire. If they rescued the disk without a permission, I hope they enjoyed the anime, because it was my anime archive drive...

In short, if I was a sick pervert hoarding cp, I probably wouldn't return a drive, otherwise I would.