RMA receipt without creating inventory

No I dont think so. We only can return to Picking locations. But what is the scenario here?

Most of the returned materials are scrapped, but this is of course only done after investigation. So, I would like to register the arrival but not in inventory as this will create inventory value.

If you have concerns with the Inventory value, I think what you should do is keeping the RMA in Released state until your investigation is over. Then you can directly scrap after the investigation. 

But if you really need to assign a location for the investigation, then maybe you can receive to a Picking location first from the system, and then Moving the stock to a QA location for the investigation. Then you can decide to scrap. Valuation would not be a problem if the part’s valuation is Standard cost. But wont work if it is Weighted average. 

Yes, this will have additional steps, but I dont think what you request is possible. 
When I come to think about it, yes it would be better if you could return goods from an RMA to Arrival or QA location. But I think it wont be needed in common scenarios, because RMAs are created from the customer when it fails their quality check. 
Maybe what you suggest will be a new Idea. 

How is the inventory valuation not a problem? The inventory will create a valuation, which I don't want because the goods are still customer owned.

You might try a custom field to record the status less officially.

Hi durette, that was indeed also my conclusion. Just add a location field to know where the goods are.