They paid for return shipping (sent me a shipping label that was already paid for). They did not tell me when they received the Pleo, but they did tell me when they shipped the new one (about a week and a half after I sent the faulty one back). If you're worried about your Pleo, you can send a message to check the current status of the replacement, though when I messaged them, I just got the standard response that my return would be processed within 3-7 days of receiving the faulty Pleo. It's odd that you had to pay for shipping, did you ship UPS Ground and use the shipping label they sent you? The message that I got stated that they would pay for UPS Ground, but if I wanted any other shipping service, I'd have to pay.
I did notice that Robotshop is currently out of stock of Pleo RBs and aren't planning on restocking until April 2nd, so unless they have one set aside for you, it might be a long time before you get your replacement. I would probably just message them to check if they've set one aside or if they're just waiting for the next general restocking to send you yours.