And you should be mad.
If you were returning it because you did not like it then no reason the vendor (even Amazon) should pay return shipping.
But when its their error, any vendor should pay to have it returned.
After you get your refund you can certainly post a nice feedback on Amazon. "Shipped wrong item, would not pay for return shipping."
You should just play the game and get the knife returned and your money back. Once that is done, request them to pay for the return shipping and if they those not to based on them being at fault, I would then leave them negative feedback as Alann45 has stated.