Hey I can well understand why OP (and epdarks) are a bit pissed with this. I'm sure that deep down both guys know that they can just wipe them down and they'll still work fine, but it is disappointing when you buy something as new, only to find it's a "seconds" quality item.
The linked website says 90 day warranty, but then you'll prolly be paying for return shipping and there's no certainty that a replacement set will be any better. I actually had a similar experience with an impulse buy on some "run out special" wrenches at my local parts store. The guy accepted the return ok, but the new set (all shrink-wrapped so I couldn't properly inspect them) was even worse when I got home and opened them. Maaawh, in the end I just kept them and "got over it".
Personally I think that if I was in the op's situation, and the only return option was shipping them back to the supplier and hoping for the best, then I wouldn't bother. What I would do however is get one of the "rust convert" products of the type that turns rust to a hard black iron phosphate. Give them a good wipe down with this stuff until they're nice and black. With the black oxide finish I think this would also work well for maintaining them in good shape with the occasional wipe down.
BTW. I use "Selleys Rust Fix" when I want a black finish on something like this with a bit of surface rust. Not sure if that's just an Australian product, but for sure your local hardware will have something similar.