If it where me, and especially if they charged you the new release price for the game, you can bet your undies I would march it back and demand that something be done. If you are buying new, you deserve new and nothing less. As much as I HATE corporations like Wal-Mart, if you buy new, you're guaranteed new and if it is defective, they will usually bend over backwards if you have any issues with the disk. (Been here with Rock Band 2, I exchanged that darn thing like 4 times, before I got all of my money back and a free working copy of the game).
I can understand the anti-theft side of the situation, some people are just that petty to walk into a shop and "help themselves" to what they want. However, the policy regarding the employee's being able to "test drive" the games is not exactly good business, is it now? I know other places do it, particularly places here in Canada that sell used inventory, but the new stuff is almost always locked up behind the cashes, or close by while the used stuff is much more vast in quantity so it's given the special treatment, but at least you know what you're getting yourself into there.
If they refuse to exchange/replace/ect, simply ask them - now where exactly is it openly advertised that when buying some item from your shop with the "new" label that it might not be exactly "new" (and in your case, incomplete (However, I have noticed A LOT of games coming without manuals and instead with a slip of paper saying "manuals available at.." to save paper/be environmentally kind). If they cannot answer this, raise a stink about false advertising, and if they still don't do anything, threaten them in some way (Media and/or legal action). Even if they can answer this, most places I've dealt with will usually do what they can to make a customer happy. After all, how many people go around saying "I just got this and it was amazing!" as oppose to "I just bought this AT THIS LOCATION and..."
As for the "Why did you not do anything then" line, just look at them and simply say - I was in a bit of a hurry that day and had places to be and did not have time to deal with it. (make absolute sure you have your receipt too!) Now that I have some free time, I would like to deal with this. If they refuse, ask for the manager/person in charge. If they still refuse, see my previous paragraph. As long as you have not waited say - a month and it's only been a couple of days, then all should be "smooth sailing".
Hope all works out for you!