It is illegal to ship a handgun via US Snail without filing the postal form required of FFLs shipping handguns in the normal course of business. A few years ago, the BATFE changed the checkbox on a 4473 from pistol/handgun or rifle/shotgun to add a third selection "frame". The immediate effect of this was to prohibit out of state purchased of stripped lowers from FFLs. What is less certain of if how it effects postal law/regulation - is the frame allowed to be shipped by a non-FFL since it is not a handgun, or is this prohibited because it is not a long gun (my guess is the later)? If anyone has a clear answer, please post it.
But, in any case, there is no law against listing a PO box as a return, but I doubt a common carrier that does not ship to po boxes would accept such an address, and the common carrier would certainly not deliver to a PO box. The likely outcome of "undeliverable" would be delivery to the common carrier's equivalent of their dead letter office, and looking for an address they could ship ro or perhaps mailing a notice to the po box.
But, unless you are legally shipping via US Snail, listing a po box as a return address does not make a lot of sense.