A few years ago, when they first came out, I bought a Samsung S9+ on Lazada with my debit card. When it arrived, it was obviously a fake. Returned it via Kerry Logistics and received a refund. My experience has always been good on refunds and I have had lots of them, but in every case, I paid through the Lazada payment channel and they were therefore holding the payment before giving it to the seller.
If you pay COD, they are not holding any payment to refund you. Further, you don't know who sent it, it could be Lazada/seller through Lazada, it could be Scammer & Sons Ltd. If you have a busy household with maids and gardeners like mine, and you're out with your family, do you really want them paying COD on your behalf? You may not even have ordered anything.
Never pay COD, you've lost most of the protection you have when Lazada are holding the money. Laada won't release payment to the seller until the returns window has expired.