Even though the coupon code required is enabled, the discount is auto-applied.

Expected Result:
No discounts should be applied to a return without a receipt.

In AX2012 R2 and R3, we had several customers reported same issue. This issue was resolved as By-design, and customer can simply work around it with code suggestion.

Remove the isReturn condition below.
sdk\services\pricing\pricingengine\discountdata\discountbase.cs 
 
        internal bool CanDiscountApply(SalesTransaction transaction, IEnumerable<long> storePriceGroups, string currencyCode, IPricingDataManagerV2 pricingDataManager, bool isReturn, PriceContext priceContext)
        {
            bool canApply = false;
            if (transaction == null || storePriceGroups == null || priceContext == null)
            {
                return canApply;
            }
            // Check to see if a discount code is required first.
            if (this.IsDiscountCodeRequired && isReturn == false)

However, for Dynamics 365 customer, given that above source code is locked, same code change cannot be applied.

This should be part of the Dyanmics 365 code and work accordingly.