If they buyer fails to respond, you should definitely go ahead and authorize the return. Unfortunately Amazon allows buyers to return anything for any reason within 30 days of them receiving their purchase. They have already expressed they want to return b/c the set is to difficult for them. You authorizing the return should not be dependent upon whether or not you hear back from the buyer. Most buyers do not respond back to messages.
Authorize the return and explain that once you receive the item back, they will either be 1) refunded in full if returned in brand new, sealed condition minus the shipping costs both ways since they are returning due to no fault of yours or 2) refunded minus up to a 50% restocking fee if returned in opened, used condition minus shipping costs both ways since they are returning due to no fault of yours.
If you do not authorize the return, later the buyer could file an A-to-Z claim with Amazon. Amazon would then more than likely refund the buyer and allow them to keep the set since you did not authorize the return as you are required to per their policy. Make them return the set if they want a refund. They may even decide to not return the set since they are subject to paying the shipping and a restocking fee if they opened the set. If they return it back open/used, you are allowed to keep up to 50% as a restocking fee and they must pay for return shipping while you also deduct the original shipping fee if they paid shipping.
***Also note, earlier this year Amazon changed their A-to-Z policy. If the seller wins the claim and the buyer is denied, it no longer counts against your metrics.***