I have a set of Races on which the lock out failed after a few rides. The problem was down to part of the damper becoming disconnected and on reconnection worked fine and has done since, including a weekends thrashing at the Sleepless in the Saddle. They are awesome forks.
Hmm you mail ordered, er lesson learnt I think!
But the shop should still fix the forks nice and quick for you, including a paid collection from you and not unreasonably, perhaps some compensation for the hassle(if they're a nice shop! They do exist, honest). If you're lucky enough the compensation might more than make up for having a very minor fault repaired on what will continue to be an excellent set of forks.
On the first attempt going in all guns blazing won't necessarily do you any favours with a shop. Give them a chance if exactly the same failure had occured 3 months down the line, the same procedure would have followed with the same results but no one would be calling for instant refunds. Some times faults occur early in a products life, I sure no one is without a story of early adjustments being required, resettings etc when they've bought new parts in the past. Or if you haven't then lucky you!
I think it comes down to this, if the same issue has arisen with your forks as that which happened with mine then give the shop a chance to sort it as described above...
...however if they refuse or decide to be arsey, well then fair enough, give em hell! And never use them again.
Not sure which travel setting you've been running them on, but the problem has mainly arisen on forks run at the longer 5 inch setting. The bushings have occasionally shuffled up the fork legs inducing play. Madison are double bushing the lower end any forks in which this has happened essentially replicating the longer bushings of the new 2002 forks. The 2002 bushings do not fit the old forks to the best of my knowledge.