It depends on who it is from. I know stealing is stealing, but when I was in the hunt for a new BK and HLT (I ended up with concord pots), I called around to several breweries for decommissioned kegs.
The smaller ones recycle theirs, but when I called Yeungling to see if that had any they didn't use, the gentleman told me to buy a keg, drink the beer and then keep the bad boy and use it to homebrew- implying that they were not going to feel a few less kegs and further implying that using it to hombrew was a enough to make him not think twice about it.
The moral here? Send it back if it is a smaller operation- but keep it if it is one of the big guys with bad beer. (And to put your conscience at ease, call bud/miller/coors customer service and let the $9/hr rep tell you it's ok )