This Flyer Talk post gives details on a mistaken Platinum amenity delivery and the newly-minted Platinum guest's honesty in reporting it. While I might have been tempted to keep it, my conscience would dictate that I return it.
I would certainly return it. When it is not known who sent it, but that it was addressed to another, I would hate to think that a gift sender had their gift sent to the wrong person and never had their gift acknowledged by the person they sent it to because I kept it. That's just not right.