Go and search their customer help center for "returning a muzzleloader". The link below pops up and THAT IS IT. Nothing specific to muzzleloaders.
I know you mean well, and I agree, but unfortunately this is their policy. Now it's a muzzleloader here, so not technically under the federal law, so I would like to hear what their customer service says about it. Betting heavy odds you will hear they consider it a "gun" and don't return it.
https://www.midwayusa.com/help/returning-a-gun/14496
"Returning a Gun
Due to Federal regulations, guns are not returnable. Please inspect your gun thoroughly before transfer. If the gun received at the FFL Dealer is incorrect or damaged in shipment, do not take possession of the gun, and please Contact Us. After transfer, any warranty or repair work must be coordinated directly with the gun manufacturer."