I do this, but I never have to return it... My shoe size is 5.5-6 but I've bought 7's because they were really cute. I don't feel the size difference. Honestly I think going bigger is alright, smaller is a definite NO. There are ways of making larger clothes look nice, and if you love the item but it's just way too big you can usually get it altered. I'd say 40% of my closet is full of clothes that are too large, but that's because I'm tiny. I usually tuck my shirts in.
Most women dont do this we want a shoe that will fit and looks good. Only thing I can think of is they need the shoe and can't afford to really keep it so its an excuse to return or they think get pair now and then go back and trade for their size later
I can understand that slightly with shirts, because one size too small might just mean it makes your boobs look bigger since its tighter xD But shoes... definitely not xD Thats just a complete disaster :P