OP, did you have any luck getting it connected?
As mentioned by several users, this is not a common occurrence with our Missing Links. Unfortunately, this has happened in the past with the Missing Links either receiving damage during shipping/receiving or debris in the pin seat resulting in an improper fit. Our apologies for any inconvenience/frustration this may have caused.
Also, as mentioned by several users, KMC does have a good rep. Many LBSs have an unfounded bias towards certain chain brands.
For removing your Missing Link without a tool, try this method. Just don't hit too hard! (originally posted by another user - thx):
http://www.ctc.org.uk/file/member/201107050_0.pdf