There is no Federal law which says you cannot exchange ammo.
It doesn't matter though because Walmart can set their own policies (and then break them) if they want. Happy now?
LOL, OP just wants the ammunition (pun intended) to go into the store and tell off the manager when they refuse to accept the ammo return.
When people hear "Federal law" for justifying not doing something, there aren't going to be many people that would actually challenge that. Of course, while it was not the best excuse for not giving the refund, Walmart can set their own policies and do as they damn well please. If they don't want to accept the ammo, they don't have to.
And I'll bet that OP barging in there today to demand that they accept the return "because the store manager said it was OK" probably isn't going to fly. I remember many a time I had people try to pull that trick on me to get me to do something that was against policy. "So-and-so, the manager/supervisor/bigwig said it was OK, so you can do this for me." Of course, the manager/supervisor/bigwig usually said nothing of the sort, and it was the customer trying to use name-dropping power to get their way. Happens all the time.