OP sounds like he has a Failure to Feed (FTF) issue. The rounds can be caught in the slide, and look like a "stovepipe," but its not because the slide caught them while being ejected, but because they did not feed into the chamber nose-first. The magazine is often the key variable in this process -- does it position the round properly to be picked up and move forward by the slide?
If the bullet is not positioned properly, or if the slide does not come forward with enough force, you can get the type of FTF that the OP mentioned.
Test #1 is to remove the barrel from the pistol and see if you can just drop a round in the chamber. It should just go "plunk" into the chamber, and then fall out freely when you turn the barrel upside down. If not, are you using the right caliber ammo? Is the ammo a bad batch? Is the chamber reamed too small? Check the feed ramp to make sure it is smooth and unobstructed -- some types of bullets (e.g., lead, or lead nose) can get "stuck" on the feed ramp if they are not "pointy" enough. Try a different type of ammo.
Test #2 is to check to make sure the slide is coming from all the way to the rear and with sufficient speed and force. I would do two things at this point: a. load the mags with 13-14 rounds, not the full 16 (which can cause the top round to be hard for the slide to pick up). b. clean and lube the pistol fully.
Then try it with the slide from its position behind the slide stop (aka slide release lever) or with a robust "sling shot" release of the slide from the full rear, and see if the slide picks up and moves the round into the chamber.
If not, check the other magazine! A magazine can be dirty, have a weak spring, have bent lips, etc. Any of those problems could cause the round to not be postured correctly for the slide to pick it up.
If you need to, call S&W, get a return label, and send it in. They will not require proof of purchase. They usually take 2-4 weeks; they may be a bit slower this time of year (they close the factory for two weeks each summer).
And let us know how you fix this problem! Good luck with it - it should work out!