Expect to be charged a £10 admin fee, but if you get someone who is understanding and has good moral values then they may waive the charge. There are many good ticket office staff out there so there is hope! Give it a try.
It's absurd that it should cost £10 for that, but this is the rip-off UK rail industry, so you have to expect it!
My advice is not to buy a walk-on ticket until the time of travel unless there is a very good reason to do so (for example to avoid hassle, as in the Stansted - Portsmouth topic)
Thank you for all your advice.
I went to the station and enquired, and was spoken to extremely rudely by the member of staff, who refused to even discuss the topic because the ATW website is not part of Arriva (I presume she means thetrainline). I rang up their helpline and spoke to some overseas call attendant, who told me I have to cancel my ticket at £10, be refunded, and purchase a new one. I told her I couldn't afford that, but she insisted that I cancel. I refused to cancel (since £10 is more than I paid for the ticket!), and then went and collected my tickets, and spoke to a nicer member of staff at the station.
She told me that (if I was doing open return), the return would be valid if I bought a single, but apart from that, they're not allowed to refund them. At least she attempted to explain the policy and did look over my tickets.
I'll probably not travel now.
Only reason I pre-bought it was because I purchased some Advance tickets at the same time, and it was just convenient, probably won't do so again!
I don't understand how this fare was only £9.20 this time, when the same off-peak ticket was previously £12 last year!