It's not necessarily a problem but its lazy vending. I am assuming you are referring to express tracked envelopes? in which case it probably won't cause an issue but why take the risk? it takes a few seconds to add a return address and it makes everything look all the more legitimate. I would ask the vendor again to please include a return address that checks out and if they refuse then i'd probably buy elsewhere as it says more about their attention to detail and willingness to meet the needs of their customers than anything else.