Seems like the person who sent you a cheque didn’t know the process and assumed that this is the right thing and sent you cheque in error. And then finance team refunded it correctly, if they are major retailer like curry’s or John Lewis, they are probably unaware of this, so just wait for couple weeks and if they don’t ask for money back then it’s yours. Even if they realise they can often just leave it as it’s their mistake and it would be actually hard for them to get money back if you refuse to give it back.

I worked for major retailer and they scam people on daily basis, so why not enjoy some free money they gave you haha. Nothing illegal here if they don’t ask for money back in couple weeks time. If they do then just give it to them