Yes you do, and the cost is very large indeed.
It's in the terms and conditions of the RMA process and there's not a lot you can do. It'll work out less than you paid, but it's certainly a kick in the teeth. They will cover return carriage.
I have heard some UK retailers will deal with Corsair RMAs directly, and so I strongly suggest finding out who will in the future (I know you didn't buy this new, but for everyone's future reference).
Next time I'd go with a decent air cooler if I were you. Cheap watercooling is asking for trouble and is more risk for no acoustic benefit, about the same cooling performance and a relatively expensive cost compared to air. That's my opinion.