Wow. Really? They can actually reject our applications just because we didn't send them to the Lockbox? That's ridiculous. I mean if they're going to, they better return our money orders/ checks. Still, let's try to stay positive. At least we have a few people in this thread in the same situation so hopefully we'll find out soon.
I have had USCIS return my application (for a different reason, though) and they will return the check with it. If they cash the check, it sure implies the application reached the right place with at least minimum requirements.