I've crunched my gauge a few times when my CO2 bottle has fallen over and landed on it. The housing has bent the face plate such that the needle gets' stuck.
If you remove the gauge from your setup, you can use a screwdriver to pry off the ring around the front of the gauge that holds the lens in place. Then, remove the two screws from the back and slide the housing towards the threads and off the gauge body. The face plate is just a round piece of sheet aluminum that can easily be flattened with your fingers. Make sure the needle moves freely and then replace the housing the same way you took it off.
Takes about 15 minutes and functions just fine. If you want them to replace the gauge out of principle, then I can understand that. It does suck to get expect something new and have it show up damaged. But if you just want to get brewing, it's an easy enough fix. Weigh your options: 15 min fixing a gauge, or wait a couple weeks while the vendor processes your return.