Bad story and I agree, file a merchant dispute with credit card company and explain what happened. The Companies mistake for sending you the wrong ones they need to eat the cost of return shipping and any applicable other taxes and Duties.
I also agree that ordering a new set even with the Core Charge for the OEM caliper would be about the same price or close and that includes powder coating which will be way more durable than the caliper covers. Example my last Taurus (2013 SEL) I was able to get a set of Powder coated (Black) calipers from NAPA. Local order and pickup to verify quality and color. Black contrasted very nicely with the Deep Impact Blue. I am thinking of doing the same with my 2018 Sport. There are online merchants that sell calipers with either None (They use a Zinc coated rust proof covering similar to rotors), black powder coating or custom colors. The custom colors are fairly common popular covers, red, blue, yellow, whatever. The other option is of course painting the current calipers.
Thanks for the info about the merchant. Once they told me they sent the wrong item then it becomes on them to pay for return shipping/prepaid label.