I received it yesterday but it had a US power lead & warranty,

Something to consider:

1. The power supply, if I recall correctly, can handle UK voltages, you merely need the pin adapter so you can plug it into a UK outlet. You don't need a voltage converter, just the little plug that makes the pins fit. So you could just get one of those, they are not expensive.

2. Warranty must be honored by UK law, regardless of what's printed on the warranty card. Besides, the player will probably work fine and you'll never need to claim on the warranty.

So maybe you don't need to worry about returning it?