Yeah, take that hay back. If the store cares about it's reputation they'll take care of you.
As a side note, always check your hay as you feed. There are many reasons for moldy hay and just because most the bales are good doesn't mean all of them will be. My family used to put up hay, here is a few common reasons for moldy hay:
-Bad weather was on the way so it was baled a day or two early.
-There can be "clumps" of cut grass, the center of the clump did not properly cure. Happens mostly with people who don't use a rake.
-Field can have spring holes in it, the ground will be damp in these areas so the grass does not properly cure.
-Grass was rained on after cutting and not given enough time to dry out before baling.