Of course it's entirely up to you OP. Personally though I would have just tightened up the screw and installed the card.
There's no way I'd have spent even more money by sending it back to the supplier, not to mention the inconvenience of being without a video card for weeks.
As previously mentioned, I would have to remove the whole heatsink to access the screw, and that will void the warranty. Anyway, I hope they will find the missing bits tomorrow.
