It depends on whether it's plain old rust, or Miscanthus Blight. I'd check it closely, and keep it away from other Miscanthus until you either ID it and treat it, or it clears up. Plain old rust usually will clear up with dry weather, but Miscanthus Blight can kill the plant, and spread to others.

I thought miscanthus blight and rust were the same thing.

See this info from Cornell
http://www.plantations.cornell.edu/publications/IthacaJournalArticles/The_Grass_is_Always_Greener.cfm

You'll need to scroll about 2/3 down.

If it is the blight, I suggest you return it as soon as possible.

Similar appearance to the blight/rust but not important, is environmental stress which discolors the light-colored variegated bands.

Here is a link that might be useful: miscanthus blight

"I thought miscanthus blight and rust were the same thing."

They are both caused by fungi, but that's the only similarity. Miscanthus Blight is a very specific fungal infestation, caused by one specific fungus, Leptosphaeria sp, and it's anamorphic conidial state, Stagonospora sp.. 'Foliar Rust' is a catch-all term used for a wide number of fungal diseases on foliage. Most of them are relatively harmless to ornamental grasses, and only occur when the plant is stressed, or dealing with still humid conditions. They pass when dry weather arrives. Miscanthus Blight is more serious, and while treatable, can cause extensive damage to the host plant, and others nearby.

It appeared this plant had a stressful life,but I purchased it in Pa 7hours away so returning is not an option.It is quite isolated where I planted him.What would one use to treat the fungi?My schedule and time are so very limited I have no time to research just getting to tis site is extremely rare.
Thanks,
Peter