Who says you have to return it in a box? How you return it is up to you, except that to be fair to sellers you should try to return new items in the original makers' packaging, if possible. But neither eBay nor the law requires this.
That said, it is your responsibility - and in your own interests - to ensure that the seller receives the item in the condition in which you received it. If this requires boxing it for safe delivery, box it.
When returning items to UK business sellers especially it's important to bear in mind that that they can reduce the amount refunded if the item is not returned in the condition you received it. To take an extreme example, if you were simply to return a valuable item in a bin liner, and it was damaged in the return delivery, I imagine that eBay would probably support the seller in making a reduced refund. As the law entitles them to do.
