Part of the reason people may want the jars back is that some canning jars are expensive. There's a big difference in prices of preserving jars. You can get them almost free at yard sales and thrift stores, buy them in bulk at the feed store, or pay quite a bit for fancy imported varieties. I would be surprised if people wanted that 1/2 pint Ball jar back, but one of those expensive Weck or Kilner jars might be a different story.
Personally, when giving jams and preserves as a gift, I always consider the jar a part of a gift. I usually use the inexpensive Ball jars but when I splurge and pick up something fancier, I factor in that I won't get the jar back. So for that reason, I often save the fancy jars for a special preserve, enjoying the fact that the gift will continue to be a part of someone's life after the food is gone. I also consider who I am giving the preserves to. If I know it's someone who isn't that into canning and would likely toss the jar, then I stick with the cheaper, less fancy model.
When I'm on the receiving end, my favorite way to work with this situation is to return the jar to the original giver full of my own preserves. Etiquette dilemma solved!
Related: Five Extra-Pretty Canning Jars
(Image: Dana Velden)