Welcome to Hell
So you bought a Steam Controller. We all make mistakes. And it has an issue? Bad luck. And you bought it directly from steam? Oh child.
This isn’t going to be fun, but here’s how to return a Steam Controller. This piece serves both as help, and a healthy dose of criticism of the extremely terrible return process. The process has pretty much been intricately designed to make it not worth returning, and frankly I would recommend selling your hardware on Ebay or something instead.
If you have not purchased a Steam Controller yet, do NOT buy it directly from Steam under and circumstance! Buy it from Amazon, a company with competent support and return services. Though, in my opinion, you shouldn’t buy a Steam Controller at all.