Yeah, I know how it feels like mate. But return it and being safe is better than keeping it and might be charged for keeping a prototype phone. Even if you return the phone, you may not get back your $250 but it's always convenient to look for your friend and smack him on his face for buying you a prototype phone =P
But yeah, it's your choice. You can keep it, but it's a risk. You can let Nokia know and return it, you will definitely be safe. Your choice
EDIT:
I'm not sure if you'll get a reward, even getting back your $250 is questionable. I guess the guy that you friend bought the phone off must be working at Nokia and simply just get one of those phones that they're going to recycle.
Since the Lumia 620 is already in production, the prototype that they used will be recycled. I guess he took it from there and sell it to you friend which has now landed on your hand. Just maybe...