Don't worry about the outside of the chuck being perfect. If you have some known good round stock (drill rod, ground stock) check the chuck runout with that. The three jaw self centering will have more than ±0.001 runout in the scroll so it may not matter.
You could try to get an exchange or simply live with it and use the movement as a "set-true" chuck - chuck your stock and then move the chuck to get it centered.
If you really need to center stock really close, get a 4 jaw independant and you can center as accurate as you like.
Take a look at
www.mini-lathe.com for full tear down and cleanup instructions.
Aaron