Do you like the veiny look? If it bothers you, by all means, exchange it. However, for me, it's not the veiny that bothers me. It's the quality of the leather. Dry (to the point where it's crackly and even has white spots) is a no no in my book.
My first Bbag was a dry, crackly kind of leather. I immediately exchanged it for a better leather. Till this day, I'm glad I made that decision because I would have never known what the thick, chewy, buttery leather feels like.
So, if you're not 100% satisfied with it, absolutely exchange it!