Hi Nancy, welcome to the forum. It is my impression that the Leigh bits are reasonably well made bits so I would think it it would be unusual for the shanks to be off sized. I have had one cheap bit that was so oversized I couldn't get it into a collet and I've heard of cheap bits that were too undersized for the collet to grip. I tend to agree with John that someone may have tightened it down a bit too much with no bit in it. That doesn't always mean that the collet is ruined. Also, some collets will loosen with a part turn of the collet nut but not release the bit. The nut may make several turns very freely but then tighten up again and require a wrench to loosen it further. Once it loosens the second time the bit may enter/leave the collet freely. One other possibility is that the collet may have some anti rust compound on it. Remove the nut and try to take the collet out and clean it with mineral spirits/paint thinner. Tapping it should get it free from the router shaft as John suggested. If you still can't get a bit in it, take it back.
Someone I consider a master woodworker once told me that a master woodworker is not someone who never makes mistakes. He is someone who is able to cover them up so that no one can tell.