I think you are both overthinking this. It simply sounds like a bad tube, probably from shipping. I wouldn't go sending the amp in just because a tube you've never used before is shorting out. It's also shorting out at the exact time I would expect it to... during heater warm up. If none of your other tubes exhibit this problem, you're fine. Just send the tubes back for a replacement set.
Maybe you're right. That said sending a piece of gear back to the factory(that was bought used) for service is a good idea and worth my money in my book.