I personally have never returned/exchanged my tickets when an understudy has gone on. That's not to say I might not do it sometime in the future if I go to see a production for a specific actor only (but I can't remember a time when I have ever seen a show just because of one of the actors in it).
IIRC, there have been only three times when I noticed an understudy going on that made me extremely disappointed. One was when I saw the OBC of Avenue Q and Ann Harada was out and we got Christmas Eve's understudy. The other two times were at different performances of Movin' Out. The first time I ever saw Movin' Out (out of too many times to count) John Selya was out and his understudy was on. The other was during the National Tour and Keith Roberts was out. I was extremely disappointed all three times until the show started as the understudies for all three were exceptional. (John Selya's understudy who's name escapes me was a revelation). After that National Tour Performance, the next day I was at the local dance apparel store buying new tap shoes and Keith Roberts walked in to buy new ballet shoes and got me and my friend in to that nights performance for free! So that actually worked out in our favor. :)
Then I saw Come Fly Away, and Keith was again out, but by this time I knew to trust Twyla Tharp and his understudy was brilliant as well.... and sexy AF.
Needless to say, I don't think I would ever refund my ticket due to an understudy, you will probably be surprised and you may enjoy them even more than the full time performer (which was my case with John Selya's understudy).