The unadulterated answer is Yes, you will have to send the H20 back unless you decide to keep both units active. As the H20 is leased, D* still owns it and if you deactivate it, you need to send it back or you may face a non-return fee.
The "adulterated" answer is if you keep it active, you may be able to swing a deal with D* for billing credits that may offset the $5.00 fee for the second unit. Or, if you deactivate and send it back, you may be able to swing a deal with D* for billing credits to "get back" some of the upfront lease fee.
That being said, any such deals depend a LOT on your history with D* and is totally up to their discretion. If you are a new subscriber (or haven't handled your account well), you may not be able to swing any kind of deals.
All you can do is call D*, be polite, explain that you were impressed with their HD and as a result decided to upgrade to the HD DVR from the HD receiver. You are wondering if there is anything they can do to help reduce the financial "hit" you are taking by upgrading from the HD receiver to the HD DVR. Then see what they are willing to do for you.
By the way, the return process should include them sending you what amounts to a pre-paid box so there should be no cost to you to return the H20.