Traditional etiquette specifies that every invited attendee/couple of a wedding ceremony sends a gift. This includes a guest that spends thousands of dollars traveling across the globe to attend the wedding, as well as the members of the wedding party. Further, an etiquette traditionalist would be *shocked* at the thought of giving a wedding gift at a shower...a shower is a separate event and separate gifts of affection are required!
Of course, these rules supersede today's abominable, modern custom of requiring a bridesmaid to purchase and wear the same, silly expensive dress selected by the bride. Etiquette dictates that the wedding attendants, as well as all guests, wear something appropriate for the formality of the occasion.
Further, the rule of a guest "paying" for their reception dinner via their gift is crude. Any sincere gift is a lovely and acceptable gesture, and should be embraced by the newlyweds as a token of love.
Your practice of letting your attendants know you did not want a gift was gracious and lovely. *Technically*, I don't think traditional etiquette approves of you returning the monetary gifts, but I think it is wonderful, nonetheless!
Unfortunately, I do not have any advice for you. I just wanted to let you know the traditional rules of etiquette. I doubt this helps you, but I send you my very best wishes!