If they don't accept returns, I hope that you at least got a good price!
There are many models of Corsair Vengeance RAM, including notebook parts that definitely won't work on that board and desktop kits that will. What model did you buy - a link would be helpful.
I can't find Corsair's own memory compatibility list, but pcPartPicker is pretty good about it; see this:
https://pcpartpicker.com/products/memory/?compatible_with=msi-motherboard-970gaming . The incompatibilities tend to come when a motherboard supports only single-sided RAM and the RAM is dual-sided, or the motherboard only supports low-density RAM and the RAM is high density. Again, I can't find that info for your board; I'm sure that someone will soon.
Just relax. When it comes, it will work or it won't. If I had to bet, I would bet that it will.