I am a Sprint ASC and Sprint has asked for all HTC Battery Doors to be returned with the phones. As for everything else, it is yours to keep. One of the small benefits you get from having a bad phone!
Just to clarify, this is for defective unit exchanges only. If you have a unit for less than 30 days and are getting it replaced, you have to return the whole package to wherever you got it from. Since you said that they sent you an envelope to send the phone back in, I assume that it is an AE (advanced exchange) unit, not a short term failure unit.