Is it normal or I should I return this chess set because of the defect?
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I wouldn't be happy with that. As long as you didn't buy that set as an "imperfect" set, then start with a message to the vendor to show them, and ask what they can do. Suggest that they send you 2 replacement (matching) black knights. They might ask if you would accept a discount, then that would be up to you. Start with that and see what happens.
I would ask for an exchange of the knight at minimum, if not complete return if possible. I hate it when you order something and don't get what you are suppose to for the money you paid. I would assume that some places are hoping most won't bother with shipping it back and end up getting over the customer.