should I return it or just try to remove the rust?

Scotch brite and there’s a special lubricant I use called aerokroil that will work all the corrosion off. That chain is not that bad. But If it was supposed to be new then send it back

Chains rust while not in use, especially if unmaintained. And that’s fine, as it’s usually superficial rust.  But not for a new chain. 

And this one has a rusted pin that has already been pitted by corrosion.

I would return it and get a new chain from a local bike shop. 

It also looks like a fake chain.