It looks like the thread is a little loose there. I don't think that would affect the overall durability of the wallet at all. But, like I said many times, if it bugged you now it will bug you forever. If you really don't mind going through the exchange process I'd suggest requesting a replacement just so you're 100% happy with your purchase.
***EDIT: I just looked at my ZCP and realized that they stitch it that way because of the construction of the zipper on the wallet. It's completely normal. Like I said, it shouldn't affect the durability of the wallet at all. Mine has the same stitching and I have no problem with it since I bought it in 2009.