You do need to check the barrel to receiver alignment. If the integral rail is in good shape and you are positive that the rings are properly seated and matched, then either the scope is totally defective (seems likely) or the barrel/receiver joint is out of whack. If you took the barreled action out the stock and took it to either a machinist or a gunsmith, then could set up the barrel in V blocks, get it leveled and then indicate the receiver to see if it is straight/level.
If it is not, then how to correct it gets highly complicated... Perhaps involving a press brake, like they apparently use at Savage to get the barrel aligned with the receiver...
So send the scope back and when you get a replacement, see if that solved any issues (don't crank the heck out of the turrets though, leave them zeroed and bring the target closer until you actually make it on the paper.) That will give you a good idea how out of whack anything is (if you measure the distance to the target exactly, it can be used to calculate angles). Don't be afraid to shoot at 10 yards if thats what it takes.
If you are only out vertically, it may be possible to place a shim on the top of the dovetail to raise the rear ring, which will raise the point of impact. Perhaps also a shim under the scope tube in the back ring to raise it even more. Its only a 22, so there is no need to torque the heck out of the rings anyway and I am assuming it hardly has any recoil.