Except getting your money back AND keeping the phone means it now is genuinely stolen.

I personally wouldn't want to keep hold of it after that, get it back to the person you bought it off with proof of delivery in case anyone comes knocking on your door. Besides, just because it worked for a month doesn't mean it wasn't stolen in the first place, might just have taken a while for Vodafone to pull their finger out.

Or take it to the police with the details of what happened.