You were indeed confused.
The SBB (like most continental railways) does whaty is now called “single leg ticketing” in the UK. If you buy a return ticket you actually buy two one way tickets, one from A to B, and one from B to A, valid on the same day. Cost will be twice that of a one way ticket.
“Open Returns” do not exist. You should have just bought a one way ticket from the airport to Arosa for your arrival day, and another one way ticket Arosa to the airport for your departure…
Getting a refund for the “unused half” of your previous ticket will not be possible, as you are not able to prove you did not use it.