Typically, when a derailleur cage is out of alignment (not parallel to the frame), it's one of two things.
1. If you're very lucky, the cage that holds the pulleys is bent. Put on a new cage, or treat your bike to an upgrade and replace the derailleur altogether. Campy 9 equipment is fairly inexpensive these days.
2. If you're unlucky, the derailleur hanger (part of the frame that the derailleur attaches to) is bent. And if you're very unlucky, the derailleur hanger is part of the frame and not replaceable, which usually means that you need a new frame.
While it is possible for the axle that the derailleur sits on to get bent, the hanger isn't nearly as thick as the axle, and almost always bends first.
If the bike was just shipped to you, there is a good chance that it was banged up in shipping, and it's probably just a bent cage. Easy way to tell is to remove the rear derailleur from the frame and look at the hanger. If the hanger is bent, it should be pretty obvious.