Generally, making an antenna shorter makes it less efficient. This means some fraction of your transmitter's power is used to make the antenna and/or surrounding soil warmer instead of radiating where someone might receive it.
The fraction of power lost is the same whether the transmit power is 3W or 300W. So the detrimental effects of a loading coil are not specific to QRP operations.
But perhaps you are interested in QRP because you enjoy the challenge of making the very best use of the limited transmit power. In this case, you'll want to do everything you can to increase EIRP except increase transmit power, which means having the very best antenna system possible. In this case you would not want a loading coil.
Alternately, you may be interested in QRP operation because you enjoy operating a small, portable, or inexpensive station. In such a case a loading coil may be a good way to make the antenna smaller and more portable.
So should you return what you've bought and buy a loading coil instead? It depends on your objectives. A loading coil will be smaller. A quarter-wave antenna will be more efficient. We're probably talking about a difference somewhere between 0.5 dB and 5 dB. It's hard to put a precise number on it because there are loading coils that shorten the antenna just a little and thus introduce only a little inefficiency, and there are loading coils that shorten the antenna a lot, and introduce a lot of inefficiency. The efficiency is also impacted on where on the antenna it's placed, ground losses, and other factors.
My general advice: if this is your first antenna, don't overthink it. Get something up and on the air, then experiment. Just about any antenna will work, and it doesn't need to be expensive to work well. WSPR is a good way to see how well your signal is getting out, and thus how effective your antenna system is, especially if you can do A/B testing with two antennas. If you have the time and the space, you can do quite a lot of experimentation with a spool of wire and some cheap items from a hardware store.