If they're new I'd ask for them to be replaced. I'm unsure what fulcrums tolerance is, but 1mm seems fairly large to me.
In general rims can be straightened and any decent LBS should be able to do it. If they are bent inwards you use an adjustable wrench and a metal tyre lever. The metal tyre lever is placed on the outside of the rim and the adjustable wrench is clamped down over it and you hold the wheel so it can't move. The tyre lever protects the braking surface (if it's rim brake) and stops you pulling the bead back too far. Do it very slowly and check for signs of cracking in the rim. Any cracks and it's toast. It's possible the rim will crack while you do it, unfortunately that's just something you have to deal with. This is why I'd ask for them to be replaced before you/your LBS go about straightening them. You can buy a specific tool to do it, but it's not really required.
If the rim is bent outwards you can knock it back in with a pin hammer. Just wrap a towel/some cloth around the dent and take your time knocking it back. I say do it like this because if you use the adjustable wrench method for this kind of dent you're more likely to damage the bead/internals of the rim. If this happens and you don't realise it's harder to monitor and could cause the rim to fail unexpectedly. Again, It's possible the rim will crack.
There are two reasons for straightening a rim that I can think of:
1) the bead won't seat properly/might fail during riding. This is obviously pretty serious. I don't want to make an assessment on whether 1mm is going to do this, I don't have nearly enough experience to judge that. I would certainly be testing the rim with the tyres at a high pressure (higher than you ride on), either by bouncing them around a bit on a hard surface or riding on some rollers. Going tubeless is actually a help here. You fit the tyre, get it up to pressure, find the deviation and see if you can press the tyre hard enough to let air escape better in that region that other regions. If you can you probably want to straighten/replace it. Bear in mind that at tubeless pressures (50-80psi) you can probably push hard enough to get air to release on a perfectly straight rim, so test other spots as well as where the dent is.
2) the dent is affecting braking. This is obviously an issue for rim brakes. This is more of an issue with a dent that comes out from the rim as this causes braking to be reduced. A dent going inwards is more likely to cause braking to increase on that spot, which may lead to brakes sticking or catching if it's big enough which can also be a problem. You'll hear it as you ride and maybe even feel if through your hands. Even if it doesn't affect stopping power it can affect hand pump over long rides. This one is a bit more of a judgement call as to whether you straighten it or not.
I managed to dent my new Mavic OP UST rim outwards enough that it wouldn't seal above 60psi. Took the time to straighten it and now it'll seal and hold pressure up to 100psi (87psi limit for the rim, I ride them at 70-80). Took a couple of hours with a pin hammer and saved me the cost of a new rim and getting the wheel rebuilt.
You brought up some good points, KB, it had occurred to me that if you try to reshape the rim yourself it might crack. At that point you can, of course, just toss it, so I probably wouldn't want to try this with a brand new rim that you then wouldn't be able to return.
Also, rim brakes might not work optimally if the dent is too severe (I'm not sure how severe 1mm is because, even though I do own calipers I've never measured my cheapy rims precisely), so brake failure is something you wouldn't want either.
Pricey brand new rims shouldn't be defective from the get-go, so as suggested by both Bustedknuckle and KB you should definitely return them.
On a side note - I recently went riding without visually checking my tires first, when riding my front wheel was just bouncing up and down very rhythmically. I thought I would just dish and true the wheel once I got back home, turns out I hadn't inserted the inner tube properly when changing tires recently, it was pinched at one spot. So that's what was causing the rhythmic bouncing.
Needless to say I lucked out, if the tire had blown off the rim mid-ride things could have ended very badly. (I definitely check my wheels and tires more thoroughly now before riding, promise.)
EDIT - I just googled op's wheels on the webs more carefully, they're disc brakes, so rim brake failure wouldn't be an issue. However, Fulcrum describes them as, and I'll quote:
Racing 4 DB is a sturdy, precise aluminum wheel with sophisticated features such as straight-head spokes and the 2-Way Fit Ready profile, all in one super competitive package that's ready to race.
So yeah, I would definitely want my money back and hopefully get ahold of a more precise set.
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