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There's some with broken pistons:
http://www.bikeradar.com/road/news/article/shimano-r785-road-hydraulic-disc-caliper-failure-45088/
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).