It's a lacecap hydrangea, not a mophead. See the link for more information. It may have been mislabeled when you purchased it, if you were expecting a mophead variety.

This is a prefectly healthy plant, so don't worry about that. :)

Here is a link that might be useful: lacecap versus mopheads

The sepals around the bloom attract insects who will then hopefully "stop by" in the middle of the bloom and help pollinate the "true flowers" in the middle of the bloom. Some lacecaps have a lot of sepals several rows), others have only one row around the bloom and others will have a smaller number yet. The sepals can be white or they can turn blue-purple-pink based on soil pH. Most lacecaps bloom on old wood.