As I was unpacking it, I noticed a lot of black dust in one area of the box, and then found that one of the front corners of the main grill body looked like it had been dropped and slid along pavement or something that scraped the paint off and deformed that corner such that I doubt any of the machine screw holes would line up for assembly.
So we packed it back up and went back to Walmart to exchange it. Fortunately that was rather painless, and the second one we got didn't have any problems. But in the directions for assembly I noticed a paragraph at the top saying "Do not return this item to the store where you purchased it. Call this toll-free number for assistance." Hey, nice location for that message, in the assembly directions that were packed inside the part that was damaged. I even consciously looked for a message like that before we returned the damaged grill, because we see it so often in product packaging these days. Usually there's a sign printed in bright red right on top as you open the box with "STOP" signs on it or something, but not in this case. Oh well. If we had called the number I'm sure it would have taken weeks to resolve the issue anyway. By exchanging it at Walmart we got it resolved in an hour.
We still need to get a propane tank for it. We thought we'd pick one up at a convenience store near our house, only to find that they don't have the propane exchange cage outside that we thought we had remembered seeing. So we tried another gas station a little further away, same deal. WTF? We could swear we'd both seen propane tank exchange cages outside someplace around here that we go to semi-regularly. I guess we'll try Lowe's or something. We're going to check there for grilling utensils anyway.
For now, our grill is all assembled out on the patio with its cover on it. Maybe this coming week we'll get to try it out, as the weather is supposed to be nice.