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I've had this with the front. Was terrifying. Apparently some of the calipers came out of the factory without O-rings installed, and as a result can blow out under pressure (in my case hitting a pothole).
The shop should absolutely take this back and swap out the caliper (probably both calipers tbh). In the event he doesn't have recourse to the seller, a good LBS should be able to fix (took mine to Brixton).
I was wondering if anyone has had problems with Shimano R785 disc brakes, went for a ride last weekend with a mate and he had a pretty catastrophic failure with his rear, fluid seems to be leaking out of the calliper.