Hi shellylh,
Congratulations on your new mattress 
As you know I think you made a great quality/value choice.
Most mattress protectors are a personal item that aren’t returnable once they are opened but it can be machine washed in cold water.
There is more about the pros and cons of different types of mattress protectors in post #89 here and your homemade protector would probably be somewhat similar to one of the cotton types of protectors. It would be less water resistant than the wool quilted protectors or the protectors with membranes but it would offer some protection that would be “good enough” for many people but not for others.
I don’t know myself but hopefully someone that has owned both of them and compared them will see your post and share their comments about how they compare. If you compare the amount of wool in each of them it should give you some idea about their relative thickness.
Companies wouldn’t generally resell personal items and in most cases they don’t allow returns either once they are opened. It’s certainly not something that I’ve heard of and there are many other ways to get bed bugs that would be much more likely. Bed bugs tend to hide in cracks in the walls or in seams or in foundations or many other hiding places in the bedroom and near where people sleep but not so much in the bedding itself (see the chart here). The best solution if you are concerned about bed bugs would be to use a mattress encasement that protects against bed bugs (see the links at the end of the mattress protector post I linked).
The post I linked also has some sources for wool puddle pads but these wouldn’t protect your mattress from bed bugs.
Phoenix