I think if you have had your pup for such a short time you could check him out for things like fleas ? ticks? depending on the environment you got him from of course but then it could be the collar I wouldn't rush to remove it unless he is really uncomfortable or maybe let him wear it in short bursts like an hour on an hour off. I would talk to your vet about your concerns anyway even if just to put your mind at ease. You may find with your vet you end up having to educate them on SM. But there will be plenty of info in the SM forum to help you with that should the situation arise.
Enjoy your little one
Harry (tri) and Digby (blen).