I've gotta whole-heartedly agree with the guys - take it back.
Part of the figure breaking off the very first time you played with it? Now, as a consumer, that is totally unacceptable

.
My Lockdown's leg pops off the balljoint incredibly easy but it also pops back on with the same ease - but I can live with it (a bit of superglue over the balljoint should fix it). But if I were you, I'd bring it straight back for a replacement & transform it right infront of them - just to check it isn't broken

.