Is it worth getting an exchange for a newly purchased iPhone 14 Pro Max?

Really this is entirely up to you. You always have a 14 day no questions asked return window to return something. If the tiny scratch bothers you and you feel it will make you happier to return the phone, then return the phone. Personally, since you suggest the phone is in a case, I probably wouldn't go through the hassle, but that's me and you should do what you think will be best for you.

No one can really answer this for you. If it’s a tiny scratch and it doesn’t affect the use of the phone then for most people it doesn’t make sense to return it. Scratches can and will happen. If you are taking it out of the case often to clean (is it really getting dirty or is that just something you like to do? Seems odd you would need to do it so often already unless the case is ill-fitting and dust/dirt are easily getting inside of the case) then it’s not impossible to imagine the scratch could have occurred then. Especially if you are having a lot of issues with debris making you take the case often to clean it. Hard tiny debris can cause a scratch. Now if the store doesn’t have what you want in stock and won’t before your 14 day period ends then you either will have to return the device and be without a replacement until one is available…or keep the one you have. They won’t extend your return period just because they don’t have what you want in stock.

Also curious…where is the scratch? Sorry if I overlooked you saying where. But if it’s on the screen do you have a screen protector? If not, get one. A cheap thin plastic one that comes in a 6 pack is all I ever use on my iPhones and the screens always look like new even 1-2 years later. You can opt for the more pricey glass screen protector but you can often find those relatively cheap also. If it’s on the sides…might be the fact that you are taking the case off and putting it back on often. Back? Maybe debris scratched it when you were cleaning if the only time you have it exposed is when you take the case off to clean.

Keep in mind some models are on backorder and the exact one you want may not be available the day you want it.