I would definitely return it, even if it seems to work fine.
The capacitor is a storage device that looks like a can, they are usually black. They store energy, measured in microfarads (microfarad symbol: uF). They work on a similar principle to a battery, only they can be emptied and filled very fast. They also don't have the same capacity as a battery. The purpose is to filter and give energy to the transistors when it is demanded.
The signal path goes from the Power supply (transformer), filter capacitors, and output stage. This is of course a very basic path as there are many other small functions carried out during the process.
When you turn on the amp or most amps and receivers, you will hear a primary click when you first turn it on. Moments later there is a second click. The second click means the capacitors are full and ready to go. Larger amplifiers and receivers take longer for the secondary click because they have more capacitance.
When a cap goes bad it can cause numerous problems. First of all it is dangerous, it could start a fire. Some people leave their amplifiers on all day when they are not home and a bad capacitor could just burn the hose down, though it isn't common for this to happen. The power output will also go down as the power transformer will have to work harder to acheive the same levels of output as it did before. You may not even notice your cap is bad untill one day your power supply dies because to much was demanded of it.
Capacitors are also the most dangerous component in an amplifier. Even with the amplifier unplugged the capacitors still hold a charge that if released into your body while you are grounded could cause your heart to stop, and ultimately kill you if no one is around to revive you. Capacitors are usually connected the board and access to the lethal contact points is limited and you would have to touch the - and + at the same time to get spiked.
So, again I say, you should return the amplifier and get another. I don't want to see your house burn at the hands of one sub $1000 amplifier.