HEI in cap coil

[ROBS6T8]

I'm looking for some advice and information as to how this happened. Brand new MSD distributor. I fired it up and it ran like crap. Shut it down. Checked the plug wires all is good. Went inside the house, started playing with the kid, came back out and I smelled electrical burning. Freaked out and started running around the car looking for smoke. I couldn't find any. I saw the ignition was still on and shut it off. The next day I went out there and tried to start her again. Nothing! Tested the 12v wire to the distributor. Nothing. Checked the fuse and it was blown. Replaced the fuse and went to crank it over and "pop" the fuse blew again. Short! Started looking for burnt wires. Decided to start at the cap and took the cover off. Or should I say, peeled the cover off!



The coil







I have left the key on before and never had this happen. It's my understanding that if the electrical current has no where to go it stops flowing. Could there have been a short inside the coil before all of this went down? I want my $165 back or exchange for a different one! Am I screwed here? Thank you.