I could go either way. It seems like with these games it not only depends on the stated rules, but also the unstated rules, or the "mood" of the group. If no one ever goes home with what they brought--even if that would be okay rule-wise--then it was odd that she wrangled her own gift back. Or if no one ever admits that they prefer the gift they themselves brought, then it was weird of her to tell everyone this. But if she didn't break the stated rules of the game, and she didn't break the rules of good sportsmanship (by saying, "I'm taking my own gift back, because the gifts the rest of you brought stink!" for example) then I don't think it could really be rude.
I don't really like competitive games of any kind... I think one thing that bothers me is the disconnect between how people are supposed to act when in competition, and how they are supposed to act in the rest of their lives. For me, it's too big a difference--how it's okay to do something sly and deceptive in a game, say, but not okay to be sly and deceptive in real life. Just my own thing, and why I just don't play games. I think the two different realms of etiquette are interesting, though.