I think it depends on whether or not you plan to keep the gift.
If things are so bad between you and your husband and the ILs that you've cut off contact, it seems to me that the best thing you can do for your child in this situation is to keep him clear of contact with your ILs so he doesn't get caught in the middle between you and them. By sending him the gift, they're using your child as a weapon against you and your DH. That's not good for any child. Thus, I'd return the gift to your ILs.
If you keep it, I'd send a short thank-you note:
Thank you for the gift to Child. Happy holidays.