Just return it and try again. If it doesn't work out after that then you need to decide for yourself if you continue, try again or go for something else.

While it sucks to get a DOA or defective product as a new purchase, shit happens with mass produced goods. I've had incidents like this happen with Beyer, Sennheiser, LetShour and Razer. The only time I've had an issue with a Hifiman product was when I purchased a used Sundara off somebody from Ebay. Pretty sure he got rid of it because the left driver was shitting the bed intermittently but luckily he had a receipt for the headphone and it was still under warranty. Hifiman had awesome support, I got a replacement in no time and it's been good for 2 years now.

Sundara is an awesome headphone, definitely worth a second shot. I would make sure to stick with a retailer like Amazon who makes returns/exchanges easy as sometimes you can have shit for luck and get a bad streak.