Thanks Tracy for the advice, I much appreciate it. Luckily, I didn't plant this peony in my rear peony garden with the others so it is "safe".
I think I'm going to keep it and see how it does. IMO, it's planted in a premium site so should thrive. I can always return it next year as it was quite expensive and the nursery is very reputable. It was the only one they had left from the auction so an exchange isn't an option.
Cheers,
Angie