I've never used a screen protector on a laptop before, but do have experience with the wet apply skins. If you do decide to go ahead with the install, I would just recommend leaving your MBA powered off overnight or for a full day to completely dry. It should be relatively safe assuming you don't go crazy with the water solution. People use wet apply skins for the body of the laptop mostly, so there is still the same water damage risk, but those usually turn out alright as long as precaution is taken.
With that said, I would probably advise you to just return it. There is really no reason to apply a screen protector to a non-touch screen unless you were adding some sort of anti-glare to it (even then I don't think it's worth it).