Don't fire them up, in the manufacturing process, a UV glass shield is normally placed around the plasma chamber. But there should not be any shards rolling around. That definitely qualifies as manufacturing issue.
MH burn at such a high temperature that I would NOT play with them.
In order to create such an intense light, a metal/gas mixture is superheated to the point of becoming a plasma (over 5000 degrees F), if that ruptures it is not a nice sight. Just imagine a few ounces of plasma flying around...
So, err on the side of caution, and return it for an undamaged one.