At least it wasn't a RRoD just out of the box... I know, I know, if this is optimism, what should pessimism look like?
However play.com also sells in the USA, so an error in their warehouse could happen.
But as the error isn't a simple "picked the wrong box in the warehouse", instead it looks like the content is messed, with parts not mactching each other, as Arcturus said too, I'd check if something suggests it's a refurbished unit.

@Alby

Er... no. Play.com is a UK retailer. It has a small website PlayUSA.com that sells DVDs only.

Anyhow it says this on the 360 listings:

Important Note! We can only ship this product to United Kingdom addresses. We apologise for any inconvenience. All prices include UK VAT and delivery.

@EaglesEye379

Ooops! Living in Europe, I never checked more than superficially their site for USA, so I wrongly assumed that their whole catalog was available both in EU and USA.

So this should completely rule out a warehouse mistake (and given what the problem is, it was unlikely since the beginning). 

 Well they are in Jersey, so it is slightly different, but they can give good savings as there is no VAT there,so theycan pass of their savings to the consumer

So you still haven't gotten to play your 360 yet?

Shame.

I am very annoyed you are stil not soorted hang on in there it will come alright

Excellent news, though it did take a week to come. So did they charge you anything for it (postage etc.)?
Made me a lot less worried about getting it from Play!
I assume you are just using the free trial for now? Do you need gold to have a gamertag and acheivements though? Or does silver allow you to do that?

Great news indeed! I'm happy for you man, have fun with your new console :)

All gold gives you is online multiplayer, some exclusive content, video chat, and access to newly released demos a week earlier than silver. Everything else is available with silver.

thanks for the info, gotta love the panda av!