I'd say it's the screw for sure, Like Gary I think it's got several issues with being bent and it also sounds gritty but that could just be the camera making it sound worse than it really is. I get this all the time on videos, the mic seems to applify the slightest noises and makes them sound much worse than reality.

If they are prepared to send you another I would take it without hesitation. But it could easily arrive in exactly the same state because Chinese ballscrews are ok for hobby routers etc, but not the best for precision stuff like this which you need to be super smooth.