New pedal fell off maybe 50 miles after installation. Should I replace the entire crank, just the arm, or repair the thread?
If you installed the pedals incorrectly, you likely damaged the other crank as well.  I'd buy a new set of pedals and have a competent repair shop heli-coil the cranks (both, if necessary) for you.  I believe this would be the cheapest fix (if you plan to keep the bike).

As for the return and other issues, I have no idea what REI's policies are and whether or not they would take back a damaged (and currently unusable) bike.  Perhaps they will refund your purchase price minus repair costs.  Again, heli-coil is likely the cheapest repair.  However, you need to talk to them to find out what options they are offering you.

Based on this incident, I'd recommend you have a shop do any repairs you need until you get some experience wrenching under your belt (from a class, competent friend, internet, etc).  That is, whatever you decide to do (new cranks, heli-coil, etc) I recommend you do it with some sort of supervision or instruction to save yourself additional hassle.