Costco gift cards are not sold in other stores because you can't buy a Costco gift card unless you're a member. Maybe you receive one as a gift from a member. Maybe you ask a member to buy you one! Or you pick one up on eBay.
I used my Costco gift card this week and had no problems. I had called in advance to ask if I needed to have a member with me to use the gift card, since I'm not a member. You don't - you just show the gift card when you enter. However, if you're not a member, you have to pay for your purchases with cash or debit card. Paying with a credit card is a perk that is reserved for Costco members. You can spend as much as you like - you're not limited to the amount on the gift card. You just pay the balance with cash or debit. And they keep the gift card. So if you wanted to return without buying a Costco membership, you would have to wait until you got another Costco gift card.
I can see that some Costco members would be annoyed to find that they are paying an annual membership and others can shop without paying that membership. But plenty of Costco members enjoy giving Costco gift cards as presents - it really is a fun gift, because it's your "ticket" into the store to look around and experience Costco (land of a thousand fluorescent lights!).