I think I would be highly annoyed as well, but I wouldn’t return it. Especially with a case on it that would keep me from seeing it. I would forget about it after a while, only recalling it every now and then when something else draws my attention to it. It would be a different case if it was on the screen and was rather noticeable.
That being said, you do you. If it is causing you that much stress to know the scratch is there, then return it. Though do keep in mind, like others have said, the new one will eventually get a scratch as well. You will not have the opportunity to exchange your phone every time it gets a scratch.
I understand OCD pretty well. I deal with it too. Some things get it going worse than others.