You do not want them touching. You should expect better fitment. Ask them for a replacement. The only downside to the "ebay" or "overseas" pipes is the chance they might not fit.
If you are handy you can throw the downpipes in a vice, heat up the o2 sensor bung and push it in so it angles the o2 sensor bung away. In essence you will be denting your downpipe with a small dimple to gain some clearance at the bung area. That is the easy way out if you are handy.
Keep in mind if you mess up the downpipes are toast and the manufacturer will not warranty them. Do this at your own risk. It's been done successfully by me and other shops.