I just received mine with the same issue.
Mine doesn't act like a completely dead pixel. When I turn on the projector it isn't there. It only appears after it warms up a little. Also, it is roundish with a hole in the middle if that makes since. I am hoping that it is just dust on the panel.
I am keeping mine because it is about 80 bucks each way to send it back and the blue pixel doesn't bother me. It has also decreased in brightness over the past week, so I would give it some time.
I think there are several people here that are living with a few of them. I guess it is one drawback of the technology. LCD was the only way for me, DLP gives me headaches.