So a few days ago, my keyboard that was ordered on newegg was delivered, but another one of the same model was shipped also. Today, they send an email asking for the duplicate to be sent back.
This might be wrong, but do I have to send it back?
Ethically? You should probably send it back. But thats all on you, ive kept duplicate items from various sources if the process itself was a burden (IE "lost" items that were reordered then arrived weeks later).
The bigger issue here is newegg knows about the duplicate, if they dont get one of them back they would probably just charge you for both.
I would be very clear with them about sending a return package/label that makes it INSANE easy to send back. I have used Newegg extensively in the past and had an overall good experience with them ASIDE from returns. It has always cost me time and money to a degree that almost wasn't worth it on some of the items. It would be different if they give you an "Amazon-like" experience where you just hand it to someone at UPS or Kohls.