Mike C once told me he returns blade pairs with significantly more than .001 inch warp, because, when you straighten a blade, it sometimes breaks. But it's your call. Also, Mike is unusually picky, and returned about 15% of the blade pairs he was sent, while I watched him work for a while - he told me that the blades he returns often get sent out to other retailers.
But you could try to find out from the retailer if the blades can be returned. Sometimes HD Sports (owns MK and Wilson) is willing to pay return shipping costs, if the flaws are bad enough. If the retailer says no, you could contact the manufacturer.
I used to have a Coronation Ace blade pair which was warped in at least one blade - but I didn't measure how much. But at least one skate literally got hot when I skated, presumably from the extra friction. And they were a lot slower than the MK Dance blades I replaced them with - though that was supposed to be true, even though MK Dance blades are shorter, because MK Dance blades are ground slim line at the bottom. (Maybe the rocker profile and less toe pick configuration help too.)
I'm not certain of the other consequences of warped blades, in terms of how they perform, if you don't straighten them, but some people claim it does affect skating in other ways.
BTW, Mike once worked as a welder, and also did some work in a machine shop. He believed that blade warping probably occurs during the "silver soldering" process (which he thought of as a form of welding) that is used to hold the runner to the rest of the blade. Neither Ultima Matrix nor Paramount runners are attached using form of welding or soldering, which might explain why they produce very few warped blades. (Though I have seen some warped low end Jackson blades that were rivetted together - not sure how they got warped.) OTOH, silver soldering produces very clean looking joints, which you can clearly see on high end MK and Wilson blades, and skating is an appearance-oriented sport.
If you do decide to de-warp the blade anyway, maybe you don't need a jig. What if you put something smooth and straight next to the blade on both side, in a vice, with a gap on one side? Do it slow, with as little thickness as you can, to reduce the amount of inverted warp you need to straighten it. But be careful to cushion it enough that the grooves in the vice don't leave a mark on the blade, or mess up the edge. (I haven't tried it.)