It's definitely the case that you should expect goods to arrive in perfect condition, but in some cases it isn't worth the hassle of sending stuff back. For example, if having to get a replacement means you are going to have to take another day off work, I would question whether its worth getting a cooler replaced (which is worth about a fiver) which may only be damaged cosmetically. On the other hand, if that's not an issue and you're not bothered about getting the PC built immediately, then I agree that you should RMA it.
Whether you decide to RMA it or not, it's probably worth contacting Aria to complain and see what they say - they might give you some money off as a good will gesture you never know.