Could be fingerprints. Lots of folks don't know how to handle cpus properly. If there are no bent pins, try it out. You can submit an rma if you like within 7 days at newegg, and if you decide not to use it, it will expire within 30 days.
*edit* unless this smudge actually has some weight. im picturing something just micrometers thick. you cant see any depth of. if thats the case, a smudge wont affect the heat transfer. if its a *thick* smudge, wipe it off. =P should also point out, any smudge on your cpu is probably residual thermal paste, which, wouldnt insulate heat.