We also tried unsucessfully to apply this flow.
This limitation is confirmed by SAP KB 2064103 - KBA: Import declaration before GR for Return Delivery.
New idea published, please support it if you consider it relevant:
Support of import declaration before GR for Customer Return Delivery : View Idea
In addition, as the settings for creating an import declaration after GR are in my opinion not clearly described, I have requested the creation of a dedicated KB article through idea: