Shame on Newegg for not doing the return for you. They're usually so good about these kinds of things. Most retailers have a good relationship with manufactures and can just send the product back to them for a refund. Too bad Walmart doesn't sell high end computer components!
If the retailer can't send it back, they normally attempt to resell the item as an "open box" item. At least Newegg isn't unethical enough to sell a known malfunctioning product.
ASRock are the only ones that can repair or replace your motherboard. The only problem you have now is unless you speak Mandarin Chinese you're going to have a bumpy customer service experience with ASRock. Good luck my English speaking friend!