If the customer is not yet created and entered in your vendor master then you just cannot use any of the mass processing tools.
You have to create the customers first and you need to enter those numbers in the vendor master control screen and after that you can use any of the above methods to set the indicator for return with shipping.
without this procedure you need to do it one by one manually.
You could have found this info yourself if you had reviewed the long text to the error message WY164 which you should have received in all above methods