It could have a little paint in the threads.
Warm the sight and barrel around it up with a torch to melt any paint and move the sight while it's warm to break it loose.
After that it should move more easily.
Note: WARM, NOT smokin' #*&^ red hot. You just want it hot enough that you can't comfortably hold your hand on it.
If you can get some Kroil locally or can wait for delivery after ordering some from Brownell's, put some on the threads and let soak at least over night. It's the very best penetrating fluid.
If that doesn't do it, send it back and them repair it on their dime. Call them for a shipping label or a pick up notice so you don't have to pay for shipping either way.
Better to bite the bullet and send it back then damage it and have to live with that.