Well, you have a nickel gun so machining the front of the cylinder to true it and then having the cylinder re-nickeled per Blhof's suggestion is an expensive option. Too expensive if you ask me, although that would be the best and most correct repair option.
You evidently have a .003" differential in b/c gap (.003" min, .006" max), assuming you were careful and accurate with the feeler gauge. The clock is ticking so far as getting your money refunded is concerned. You probably either need to return the gun for a refund very soon, or live with what you have. If you choose the latter option then my advice would be to set the b/c gap to .006" on the tightest cylinder. This will make the gap .009" on one of your chambers, which is above the factory recommendation, but this is for testing purposes.
If the above procedure allows the gun to function without binding through a 100-round shooting session then I would reduce the gap by .001" and repeat the 100-round test. Do this until the binding problem reappears and then go back to the last setting where no binding occurred.
Don't worry about the b/c gap being too large. Colt's upper b/c gap recommendation is .008" and you'll only be .001 above that limit.
You'll also need to verify that you are getting acceptable accuracy with the setting that works best. B/C gap can affect accuracy.
I guess if it was me I would evaluate how cheaply I got the revolver. If it was a bargain then I would probably keep it. If I felt that I paid full retail then I would see about getting my money back and buying one in better condition. Just my $.02.
-Bob