If they hold only a handful of CDs then rather than pay to return them to the UK it might be better if they simply destroy them and you write them off. Or, rather than return them to you, could they send them to Amazon for you to sell on your own behalf?

When I set up my band's albums with CDBaby I decided that it was too expensive for them to handle physical sales, and we've handled all physical sales through Bandcamp, including international sales. However we had no previous fan base in the US, so our sales over there were few and we could easily handle them, and by paying for postage online I no longer have to queue at the Post Office.

I've no real complaints about CDBaby for digital sales.