Very strange. I do know that micro scratches is possible if the pen tip or screen is dirty. But it isn't normal on a clean screen.
Once your device is replaced, I recommend to get a GLASS screen protector for the screen. For example, you have the excellent Phantom Glass. Their glass is Gorilla Glass 3, very thin to affect the least the pen, and like the Surface Pro, it is coated with a product that makes sliding your finger smoothly and clean finger marks easier (like your smart phone or tablet, or Surface Pro using such coating, don't use cleaning product to clean the screen, you'll just remove the coating, and finding the product to replace is sadly hard).
I have is on my Surface Pro 2. Because it a solid glass sheet (nicely cut to the device dimension), it doesn't show once installed. No one has ever noticed that I had this. No camera hole needed either, as the glass sheet is perfectly transparent, unlike the plastic sheet. Yes it is costly, I am not going to deny that, but the up side outweighs the cost, in my opinion.
The Surface Pro 3 and 4 have identical dimension and front speaker placements, so getting Phantom Glass for Surface Pro 3, if you cant' find the Pro 4 model, is fit nicely. Oh by the way, because it is a solid sheet glass, you'll have no bubbles. Well you might have 1-2 big one when you install it, but easy to push out. Read the instructions. take your time, and do it in a clean environment, and you'll have a great install.
The installation is dry install (no liquid needed), and doesn't leave glue marks or anything like that (it better for the price).