I would return to amazon. Basically, while I do really like EVGA - you never know what will happen if you RMA directly to them. You might have to pay for shipping. You might get a refurbed card in return (not sure). By the time you get a replacement, you may be past your 30 day return window at amazon.
I say screw that nonsense. Again - I'll say it again, I like EVGA, their CS is amazing. However, it's just less hassle to return directly to amazon for many reasons. Primarily, you can reset your 30 day return window and you can get a full refund without having to pay one cent for shipping. To me that is far preferable to what EVGA can offer for RMA.