Listening to growers talk over the years, I have heard this development in the leaves is not a good thing and you are right to be suspect. Peonies are very strong plants but it is possible to have virus or disease of sorts.
I would make certain you notified the nursery of the plant condition. If it is a good nursery, they will be receptive. If you keep the plant, I would isolate it from other peony plantings if you can and evaluate the foliage next year. If it were me, and I saw those same patterns in the leaves the following year, I would toss the whole plant. Something isn't right.
