So you have at least one header not working. On a new board, that would be enough to drive me towards a return/ RMA.
In my experience you have to unnaturally push that CPU to get it really hot. I can do video encoding and gaming and it won't get nearly as hot it is will with stress testing.
So it is up to you if you want to swap the cooler for a new one, or just return it and get a decent air unit. This CPU doesn't overclock really well, so a good water cooler is going to have a limited ROI for this chip alone.