Thule Helium Pro hanging bike rack - assembling problem

It looks like a defect in manufacturing to me. Appears to be a daggy piece of metal left over from the drilling process, aka swarf that is still connected. I'd suggest putting a bolt in and then tapping it firmly with a hammer to dislodge or shear off the flake. Maybe use another piece of metal to avoid damaging the bolt. You might be able to grab it with some needlenosed pliers and twist it off.

If the obstruction is thick then you may need to drill it with a drill bit that is the right size for the bolt.

Either way, add some paint or grease to protect both the bolt and the frame from the elements. Having removed some paint will allow rust to form there.

You could try sending the whole thing back for replacement or refund, but to me its a minor annoyance that will be fine once drilled. It is disappointing to see this quality-control, and wonder whether other parts on the rack are similar.

Whether this voids any warranty, that's another question that only the manufacturer could answer.