This is an accepted solution.
You cannot change these, if you are using Shopify's default legal pages, but you can create your own custom pages under Online Store > Pages and link them in your menu/footer.
What theme are you using?
I found you can actually change the headings in the store language settings. Go to settings > store languages > change theme language, keep the language as English in the modal and click save > checkout & system tab. Ctrl+F there, type in refund, the first field should be Refund Policy. Change that to Returns Policy or whatever you like. Click Save. This changes the heading on the policy page as well as the link in the checkout. Only the URL still says refund-policy, but the rest changes.