It is up to you to join an airdrop or not, it is for your own benefit after all. If I were you I would join airdrops even if I does not have ether noe because joining them is profitable but sometimes it is a hassle to join one. That is the first time I heard of tokens going back to the sender so probably that token is programmed to be refundable it is a smart contract. There is also a possibility of your wallet being accessed by other person besides yourself.