I have not returned the grinder yet - curiosity got the better of me and I opened it to take a look at the insides.
The gearbox had a lot of grease, but there was absolutely no sign of grease on the mating surfaces of the gears, so I distributed the grease around a bit. I agree that the grease will probably get thrown off pretty quickly but this should not hurt.
I opened the body as well and checked the connections - nothing visibly wrong.
After this I tried it for a short while and it seemed better.... Maybe just my imagination, but let's see how it holds up.
Talking about cheap tools - I also have a small ryobi belt sander - the one with the belt on the left and the round disk on the right.
The first one I got immediately made a weird noise. Returned it and got another one.
The second one has been going strong for the past four years without any problems and it has really seen a lot of use.
It looks to me like luck plays a part as well....