I'm sure it was a disappointment to say the least. I'd certainly call Scannermaster and make them aware of the issue.
Several folks with the 536's have replaced the micro SD cards with higher capacity cards (8, 16 or 32). That gives a higher capacity for things like recording (if you do that). So other than the aggravation of not getting a card, there might be a silver lining in this dark cloud.
You might want to look at the following website which gives you some instructions on what to do when you first receive your scanner:
BCD536HP < UnidenMan4 < TWiki
You would need to update the whole database, which is something you'd want to do even if a card came with your scanner.
Just to be sure the following works before I offered up any advice, here's what I just tried:
I had a spare micro SD card and re-formatted it so it would be blank. I used the SD Formatter Utility to do so.
After inserting the micro SD card into my 536, I got an error message about the card, which I fully expected because it was blank. The scanner said to use Sentinel to Clear User Data.
It took a couple of minutes for Sentinel to do the Clear User Data process, which resulted in the proper files being installed on the SD card.
I then wrote my Favorites Lists along with updating the master HP database to the scanner. Everything went fine and the scanner went chugging along.
Other than for getting off to a bad start, I hope you enjoy your new scanner!