Here's a question....have you put your SIM card into your "recovered' phone to see if it's been blacklisted or not?
I think it all depends on your conscious. If you feel guilty about it, give Asurion a call, let them know the situation and tell them you are sending the phone back to them and would like your money back. If they pitch a fit, you pitch one right back. Ask for supervisors, for anyone higher up, as much as you can. In most cases, when that happens, they try to appease you because the theory is no one will have that much of a fit unless it was legitimate.
If you don't want to go through the trouble, keep the replacement and sell it or use it as back up. Even though this could be considered fraud, you didn't intentionally commit it. Proof of that is the fact that the gym called you to tell you they found the phone. Whoever made that phone call to you is a witness that the phone was legitimately lost and recovered.