I had a company from ebay sent me a set of rims and UPS driver managed to damage the lip of one of the rims and UPS ended up contacting the seller and he shipped another set with a note that read "dont need to send damage rims back" The rims was only scratched and had some of the trucks paint on it but nothing major.
Its your descision, but I'd probably send it back unless it was from Ladd Murdock! LOL!!!
Seriously though, first I would check all the paperwork to make sure they didn't charge you for it. Then, I would contact them, and then send it back. Have them pay for postage. They may even give you a discount or gift card or something.