I am not sure if I should take it back to Apple, what do you think it is? Do you think it could go away on its own? I am within my 14 day money back period so I would just place a new order and wait if I do decide to return it.
Let Apple worry about what it could be. Of course you should bring it back. It's a brand new device that also happened to be quite expensive. Have Apple get you a new watch, I know I would.