Are you sure you would like to keep that piece? It looks like it is covered in mojanos, a type of pest anemone as well as some hair algae at the tips.
At this point, you could welcome those organisms into your tank, but many find that they don't like to introduce mojanos into their tank. Therefore, your options are to either keep the piece, treat/remove the mojanos, or return the live rock. If I were in your shoes, I would return the liverock for a refund and would be concerned about the employee or store that sold me that piece, but each reefer is different about the hitchhikers they will accept into their tank. At the very least, I'm hoping that they made you aware of the organisms and their care requirements present on the live rock before selling you the piece. So long as they are open and honest, what you do with that information is then up to you