I'm sure you can put in a sheepskin insert as long as it has the slots for the seat belts to go through.
I'm not sure I understand about the head rest part. As long as it says suitable from birth and is rear facing it should be ok. Maybe find out where they got it from and go to the store and ask the sales assistant about your concern.
I received a car seat as a gift when I had Angus and wasn't entirely happy with it, but accepted it anyway and have cursed about it on many occasions since. If you feel you can ask them if they don't mind if you exchange it then do so, and then maybe get the one you want. IKWYM about not wanting to offend them though as that was my problem.
The one I was given was a fisher price and I really prefered a safe and sound as we had one for Mason.