Some stores have saddle buy-backs but most only have some kind of exchange. You are locked in to their selection. If you live like most in this country you are not likely to make it back to the store to exchange within the change period. Now its yours. Whether it fits or not. Pretty soon you build a collection. Nutz to that. Been there, doing that, the o.p. doesn't have to join us in the madness.
Its all about fit. Bike fit. Even cheap saddles can be comfortable if the bike fits. Most dont. Really. Most. People get on a bike and they expect nothing to hurt. There are actually some kinds of discomfort on a bike that are benign and will either go away with increased fitness and adaptation or when you buy a recumbent. Sitting more upright is fine, if you bring the bars back to you when you raise them. How many do that? How many can? How many know how to accomplish that?
A bike saddle is called a saddle and not a seat because you are not supposed to sit on it! Much of a cyclists weight is actually supposed to be borne on their feet and hands/arms. You should frequently on rides of any length be off your seat. As mentioned earlier, saddle tilt is very important. Most women cannot tolerate any degree of nose up. Dead level works best. Never nose down. Saddle should be well forward so that weight comes down on the rear of the saddle. Women have shorter arms and will skootch forward on a saddle that is too far backwards. If you aren't sitting on the wide, flat, part of the saddle, it will hurt. Terry saddles are great, so are Specialized. It doesn't require trying half a dozen different models to find one that will work. ANY of them can and will work if the underlying bike fit is correct. Any remaining discomfort is intrinsic to riding a bicycle and must be overcome through time in the saddle and increasing fitness.