Yep, you got to give it back, no question!
I would expect the guy who sold it to me to at least share in the loss. If he is really your friend and did not know it was stolen, he should at least offer to refund half of what you paid. Nobody's fault, but it reduces the burden so you are not out all of the $$.
If he isn't a friend, then you can't be certain how much he knew, and I would be wanting a refund and cooperating fully with the police about where I got it from.
Get a letter from the cuemaker stating the fact that he can verify it is indeed stolen and that you returned it to him. He may offer to build or sell you a new cue at a good price for being cooperative and help to further offset your loss.
The whole thing sucks, but it has to be done.
I saw a very nice custom cue in a pawnshop. I recognized the cue from working in the pool hall. I did not know the owner, but would recognize him. I only met him twice, but I remember the day he came in with the cue brand new and was showing it around.
I wanted to buy the cue, but before I did, I went outside and made a few phone calls to see if this guy was missing his cue. If it was stolen and found its way to the pawnshop, I was going to make sure he got it back. It turns out that the original owner had been selling off all his cues recently and got out of town. I felt much better and went in and bought it with a clear conscience!
Jw