Mean mommy here. We have a rule that once you talk to Santa, you can't change your mind. I usually use the line, "What if every kid changed his mind a few days before Christmas, how would Santa's elves be able to make all those new toys in time?"
My kids are way past believing but we also had Santa rules. 1. No mind changing after visiting Santa. 2. You may only ask for gifts that had mom and dad's stamp of approval.
For myself, though, I'd want to send back the expensive set and switch if I thought that he really didn't want it and wouldn't play with it. Do you think that is the case or is he just worried that he won't get such an expensive gift?
If he's honestly changed his mind, then I'd let him and send it back. If it's the latter (and I'd talk with him and find out) then I'd tell him to "leave it up to Santa and see what happens." I would remind him that, "Santa always brings a great gift and I'm sure he will this year, as well."