I thought a while back they had a sign that said that refunds over a certain $ amount would be issued by corporate check.
Could be mistaken...
It's possible that they do that so that they can audit large refund amounts, just to be sure that there aren't a few individuals who are scamming them. I suppose it would be possible to go into a store, pick up something, and then try to return it without a receipt (having never even paid for it).
'Course if you have the receipt in hand you wouldn't be scamming them...