Does the screw not go in even without bindings? Like if you just try screwing it straight into the board?
The thread could be a little crappy or incomplete in the insert. If you didn't want to return the board you could go to any mechanic and they could clean out the thread in about a minute with a tap&die set...
PS: Scratches are awesome, chicks dig them.
No wait, that's scars right? I get confused easily