I don't think you should feel that way and here is why:
Let's just say that there is a 4th console called ''Barbie''. In this console you can only play barbie games. A friend/cousin of yours gives you this console as a gift. You appreciate the gift, but you don't like any barbie games. So what do you do? let it collect dust or try to make the most of it by selling it? If you sell it, then you can buy something you actually like, but if you keep it, it will be a total waste, as you do not like it at all. And since it is an expensive gift it is a shame to keep it and not use it at all. If it was an expensive pen, it would be wrong to sell it, because you can use it.
Of course I'm not implying that the Wii does not have any good games, but instead that he may not like any games on the wii.
Something similar happened to me a year ago. I bought a really expensive dress for a friend of mine, but she decided to return it and get a different one from the same shop. She explained that she doesn't wear short dresses, and the one I got for her, was a bit short. Now, had she kept it, she would never wear it or feel comfortable wearing it. So, should have I been mad at her? I was actually glad, when she told me that, because I knew that she got somethig she liked and that's the reason of giving gifts. Making people happy, not yourself.
