Yes, they are required to provide an exchange for you for a period of 14 days. Apple reformats any computer you exchange. They are not responsible for the data on the exchanged computer.
Hopefully, this is a stuck pixel, which is relatively easy to fix. Just download this program, and run it for a few hours until the pixel is restored. The program just flashes native RGB signals to the screen in order to "wake up" stuck pixels, which are just pixels that have "fallen asleep", which can be for various reasons.
If this doesn't work, it can be one of two things:
- A dead pixel (a pixel that is physically broken or damaged, in which case you can demand a refund from Apple if the machine is new),
- A problem with the GPU. This is probably the least likely explanation, but either way you can get it replaced or fixed by Apple (hopefully).