A few times... I've found that sometimes people instantly want a return because they're convinced something is wrong with the item, and they automatically go on the offensive. Then once I say they can return it, they usually change their minds. I think some people just like finding out they have the option. Then once they go to do it, they either work it out, forget, or don't want to bother.
Yes, we have a decent percentage that never return. We make sure the return policy is spelled out in the RMA email and give them a finite amount of time to return. The opposite of this is the people that return items that never call for an RMA.