The sun does damage the quality of the hay as it "cooks" out the nutrients - especially nitrogen which is your main component in protein. You should never have hay exposed to sunlight if it can be avoided.
Now having said that. The hay is perfectly fine to be fed with no ill effects and imo there should be no complaints at all to the store at all on the basis of bleaching. You are probably talking about damage in loss of nutrient value to 1/4" on 18" thus less than 1% - not an issue to take up with teh feed store.
Now were it wet or moldy - that is different, but just sun bleach, it is a non issue.