Yes, it's an extremely impressive result from the sapphire. I was only able to make out a near invisible horizontal mark. The Consumer Reports video essentially confirms this also.
Some folks had wondered if CR perhaps received a watch without the oleophobic coating, but this video shows it coming right out of the box and not scratching either.
So it still doesn't quite answer the question of how OP's watch got scratched so soon. I wonder if it may have scratched during manufacturing...
Agreed - I think the OP's scenario must be a corner case. Either too much of the coating was applied, or the scratch could be in the anti-glare coating underneath.
Either way - best to just get it replaced from warranty stock.