That sounds very odd. And definitely not normally functional.
Regardless of whether the plastic film is supposed to be there... and I'm not really sure either way... it is quite sure, that the carriage in which the printhead and ink are carried to and fro across the paper, should stop where you can access it, if you are following the setup directions you have.
(You do have setup directions, right? sometimes, in rare cases, the sheet is left out of the printer package... which can lead to trouble.)
If the printer is this defective and malfuctioning at the very start, you should not keep it. Some less common individual printers are not good from the store. The thing to do is, to pack the printer up again in original packaging, and return it to the store promptly, with your sales slip in hand, asking for a return and exchange for another printer of equal or equivalent value and capabilities.
This should be done promptly, since the return/exchange period is often quite short - sometimes only a week to 10 days from purchase date, sometimes as long a 2 weeks, seldom longer. (See your sales slip, which should mention returns terms on the reverse side, usually.)
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