Most fabric these days is sprayed with various chemicals that do various things. Some are to meet fire-retardant standards, some are to ward off stains, and some just make the fabric look nicer when shipped (e.g., shinier and less wrinkly). Maybe this one piece got over-sprayed, and you’re smelling the results.
Air it out outside, if possible, and the smells should dissipate.
Or just send it back, I’m sure the store would be fine exchanging it.
It’s like aa said, do what works for you.