You definitely have a damaged pin there. Your issue will be trying to prove that you didn't do it as the default stance of any retailer will be that the boards are QC'd by the manufacturer, then ship with a socket protector, so any damage to the socket between the manufacturer and end-user is hugely unlikely. I can say I've handled thousands of Intel boards and I can remember no more than 3 that came with socket damage out of the box - one socket was absolutely decimated with about half the pins mashed and the socket protector itself was damaged too, the other two had a single bent pin. So, while it's theoretically possible, it is very unlikely, hence why they take that stance.
You could try your luck with Newegg, or you could contact Gigabyte directly and see if they'll assist. It's very difficult to see accurately in pictures but if you have a good magnifying glass, you could take a closer look to determine if the pin is bent or totally missing, if it's bent you may be able to fix it but I would try your luck with Newegg and Gigabyte before attempting it as you do run the risk of making it worse.
