Well, for one, how will anyone know if you did? The only thing that will void the warranty is if you damage the CPU while installing it (like scrapping the top off).
When sending back the CPU + the boxed heatsink (I think they want to have evidence that I've actually used it) they'll surely know that I haven't really used it. Or at least, that's what I was thinking.
If you get a retail box, there should be a small booklet in there with the warranty info, read it. There are so many aftermarket heatsinks that I really doubt any company will void a warranty for using them. If the CPU gets damaged because it overheated, it may not be a warranty issue anyway, it's probably only warrantied for a failure in the build, not the environment you use it in.