Should you return it or not?
Nobody can answer that for you, but here are my thoughts:
It really depends on what your preferences are:
How important are the looks of the device?
How important is the Brand status of the device? (When showing it off, does it matter that people know the brand, and that it is expensive?)
How important is the user experience of the device? Does it need a display, etc. ?
How important is it that is has good measurements, if you can't hear it anyways?
Many people on AudioScienceReview (me included) suffer from what I would call "fear of missing out from the perfect sound".
What I mean by this is the following: I cannot hear the difference between a perfect measuring device and devices like your Atom. My ears are simply not good enough for that. I am 55Y with normal hearing. I cannot hear sounds over 13KHz, which is normal.
BUT the pure thought that I might be missing out from an even greater musical experience, means that I would probably buy a device that measures better, even though I know with my brain, that I cannot hear the difference. Knowing that I have a good measuring device somehow gives me peace of mind, when listening to music. But it is all in my brain...
The fact that the Naim Atom has gotten so many very good reviews, means that a lot of owners of it are very happy with it, And they do not know that its measurements are not perfect (although they are by no means bad), and many do not care at all, even if told about it.
You can be perfectly happy with your Naim Atom, and have just as great musical experiences as with any other device. Just don't catch the "fear of missing out from the perfect sound" bug
I, myself, would return it, and buy something cheaper like the Harman Kardon Citation Amp. It has not be measured, but is probably relative on the same level (measurement wise) as the Naim Atom. But it cost 1/5 th of the Naim. It does not have the good looks, nor does it have a display. But is does have more power. Having that, I would enjoy having a better look at the market, and compare some more devices.